Matrix Minimization
- To: mathgroup at smc.vnet.net
- Subject: [mg99748] Matrix Minimization
- From: "math.mud.mad at gmail.com" <math.mud.mad at gmail.com>
- Date: Wed, 13 May 2009 05:07:01 -0400 (EDT)
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..