I want to know how can i solve the following minimization problem with matlab:
A is a semi-positive definite matrix. (All eigenvalues are greater or iqual than 0) F=F(x_1,...,x_n,y_1,y_2) = (F_1,...,F_2n) is a linear function.
i want to find (x_1,...,x_n,y_1,y_2) so that:
F*A*F' is minimum. There are no restriction in the variables, but notice that there are substantially less than the vector length.
I am trying to minicime a statistical distance. I can't find on the web what functions to use.
Thanks in advance.
for unconstrained optimization in MATLAB you can use
fminunc
. To do so, you can define your cost function:then call
fminunc
to find the minimum. Vectorx0
is provided as a starting point for searching.