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?
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?