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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?

  • 0
    Minimize or maximize?2012-10-30
  • 0
    That does not matter.2012-10-30

0 Answers 0