Hello,
I would like to minimize and find the zeros of the function F(S,P)=trace(S-SP’(A+ PSP’)^-1PS) in respect to S and P.
S is symmetric square matrix.
P is a rectangular matrix
Could you help me?
Thank you very much
All the best
GoodSpirit
Hello,
I would like to minimize and find the zeros of the function F(S,P)=trace(S-SP’(A+ PSP’)^-1PS) in respect to S and P.
S is symmetric square matrix.
P is a rectangular matrix
Could you help me?
Thank you very much
All the best
GoodSpirit
Hello everybody,
Perhaps I should explain a little bit.
The aim is to minimize an error metric and preferentially drive it to zero.
This should be done as function of S and P, as function of their rank and dimensions.
By the way, the matrix A is symmetric too.
Many thanks
Best regards
GoodSpirit
Hello again,
I forgot to say that P' and S' are the transpose of P and S respectively.
and ^-1 is the inverse operation.
I've been using matrix derivatives...
What do you think about that?
best regards
GoodSpirit