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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..