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m11
2006 Aug 09
1
minimization a quadratic form with some coef fixed and some constrained
Hello, all,
I had problems with an extension to a classic optimization problem.
The target is to minimize a quadratic form a'Ma with respect to vector
b, where vector a=(b',-1)', i.e., a is the expand of b, and M is a
symmetric matrix (positive definite if needed). One more constrain on b
is b'b=1. I want to solve b given M.
I tried but it seems impossible to find an analytic