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The problem is formulated as:

$$\max_Gtr(G^TAG)$$

where $G\in\Re^{n\times m}$, $n\geq m$, $G^TG=I$ and $A\in\Re^{n\times n}$ is positive semi-definite.

How to solve this problem by using the Lagrangian Multiplier method?

share|cite|improve this question
    
Minimize or maximize? – littleO Oct 30 '12 at 8:36
    
That does not matter. – mining Oct 30 '12 at 8:53

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