Article ID Journal Published Year Pages File Type
1146059 Journal of Multivariate Analysis 2011 16 Pages PDF
Abstract

We consider the problem minx(x−t)′A(x−t) subject to x′Bx+2b′x=k where A is positive definite or positive semi-definite. Variants of this problem are discussed within the framework of a general unifying methodology. These include non-trivial considerations that arise when (i) A and/or B are not of full rank and (ii) t takes special forms (especially t=0 which, under further conditions, reduces to the well-known two-sided eigenvalue solution). Special emphasis is placed on insights provided by geometrical interpretations.

Related Topics
Physical Sciences and Engineering Mathematics Numerical Analysis
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