【 以下文字转载自 EE 讨论区 】
发信人: visionss (Vision), 信区: EE
标 题: 问一个矩阵问题
发信站: BBS 未名空间站 (Mon May 3 19:41:50 2010, 美东)
trace(X'AX)
max---------------
trace(X'BX)
s.t. trace(X'X) = 1
A and B are postive-semidefinite
Do we have a close form of X? What is it? Thanks.