Extrema of sums of heterogeneous quadratic forms
作者： Marianna Bolla , György Michaletzky , Gábor Tusnády , Margit Ziermann
DOI: 10.1016/S0024-3795(97)00230-9
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摘要: Abstract We analyze the following problem arising in various situations multivariate statistical analysis. are given k symmetric, positive definite n × matrices, A1, A2,…, Ak (k ⩽ n), and we would like to maximize function ∑ki = 1 xTiAixi under constraint that x1, x2,…, xk ∈ Rn form an orthonormal system. Some theoretical results as well algorithm presented.
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