[R] minimization a quadratic form with some coef fixed and some constrained
Rolf Turner
rolf at erdos.math.unb.ca
Wed Aug 9 18:08:25 CEST 2006
Yingfu Xie wrote:
> I had problems with an extension to a classic optimization problem.
>
> The target is to minimize a quadratic form a'Ma with respect to vector
> b, where vector a=(b',-1)', i.e., a is the expand of b, and M is a
> symmetric matrix (positive definite if needed). One more constrain on b
> is b'b=1. I want to solve b given M.
>
> I tried but it seems impossible to find an analytic solution for b. Any
> objection?
>
> Now, come to the numerical. Does anybody have any idea on how to
> parameterize this to use, e.g. optim() or constrOptim()?
>
> Any help are appreciated very much!
The analytic solution is trivial. Write M as
| M_11 c |
| c' m |
Then given that M_11 is positive definite, the
minimizer is
b = (M_11)^{-1}c
cheers,
Rolf Turner
rolf at math.unb.ca
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