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How to solve Rayleigh Quotient type problem?

$$\max (w+w_0)^tC(w+w_0) \text{ s.t. } w'w=1,$$

where $w_0$ is given.

Thank you!

  • 2
    What do you know about $C$?2012-04-19
  • 0
    real, symmetrical, but maynot be PSD...2012-04-19
  • 0
    Have you worked in the case $C$ diagonal?2012-04-19
  • 0
    How to solve that case? Could you please elaborate? Thank you!2012-04-20
  • 0
    Did you try with Lagrange multiplier? I guess it will work.2012-04-20
  • 0
    yes, but that's too tedious...2012-04-20

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