Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1146059 | Journal of Multivariate Analysis | 2011 | 16 Pages |
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
Authors
C.J. Albers, F. Critchley, J.C. Gower,