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froebenius
2010 Jan 15
3
optimization problem
...s is not a direct R-problem but I hope you can help me anyway.
I would like to minimize || PG-I || over P, where P is a p x p permutation matrix (obtained by permuting the rows and/or columns of the identity matrix), G is a given p x p matrix with full rank and I the identity matrix. ||.|| is the frobenius norm.
Does anyone know an algorithm to solve such a problem? And if yes, is it implemented in R?
Currently I minimize it by going through all possible permutations - but this is not feasible for higher dimensional problems as I would like to consider too.
Any help is appreciated!
Thanks in adva...