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Re: Matrix Minimization

  • To: mathgroup at smc.vnet.net
  • Subject: [mg99826] Re: Matrix Minimization
  • From: dh <dh at metrohm.com>
  • Date: Fri, 15 May 2009 04:21:33 -0400 (EDT)
  • References: <gue2j0$7kd$1@smc.vnet.net> <gugaqf$egm$1@smc.vnet.net> <gugcb9$fjk$1@smc.vnet.net>


Hi,

if you want to minimize log det (M) you define a function of the 

parameters that returns log det (M). Subsequently you minimize this 

function using e.g. Minimize, NMinimize, FindMinimum..

Daniel





math.mud.mad wrote:

> On May 14, 2:39 pm, dh <d... at metrohm.com> wrote:

>> Hi,

>>

>> you may minimize a real scalar but not a matrix. However, what you can

>>

>> do is to minimize some measure like a Norm of the matrix.

>>

>> Towards this aim, you will have to calculate e.g. Norm[] and then

>>

>> minimize it.

>>

>> Daniel

>>

>> math.mud.... at gmail.com wrote:

>>> Hi ,

>>> i would like to minimize the following matrix  M with respect to A.

>>> M=  E_X + A E_S A' + A E_P A'        E_X H' +A E_S H'

>>>        H E_X + H E_S A'                 H E_X H=

> ' + H E_S H' + E_Q

>>> where E_X, E_S, E_P and E_Q are covariance matrices..

>>> can we do matrix optimization in mathematica?

>>> thanks a lot..

> 

> Hi Daniel,

> 

> sorry for my mistake. i want to optimize log det (M) with respect to

> A. can i use mathematica for that?

> 

> regards,

> 




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