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Thread: Close form solution to minimize norm of quadratic term

  1. #1
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    Close form solution to minimize norm of quadratic term

    For a problem I am working on I need to minimimize
    \sum_t || x^TA_tx - b_t||^2_2,
    with respect to x \in R^n. The matrix A_t \in R^{n \times n} is not positive definite, b_t \in R.

    Is there a closed form solution for this?

    The norm can also be the L1 norm and does not need to be squared, if this simplifies the problem.

    I would be very thankful if somebody could help!
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  2. #2
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    Re: Close form solution to minimize norm of quadratic term

    Can You say how You sum
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