Take the 2-minute tour ×
Mathematics Stack Exchange is a question and answer site for people studying math at any level and professionals in related fields. It's 100% free, no registration required.

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

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.