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Topic: Matrix function Optimization
Replies: 6   Last Post: Dec 25, 2013 8:29 AM

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Posts: 5
Registered: 12/24/13
Matrix function Optimization
Posted: Dec 24, 2013 2:18 AM
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I have a problem about optimization for a matrix.
let say
C.A = F, where C is symmetric 2x2 matrix consisting variable c1 and c2, [c1 0; 0 c2]
and F is just matrix consisting of constant numbers

then i can say
A=C^-1.F (yes, it is just an inverse matrix of C)

here comes my problem:
i want to find optimum value for C1 and C2 to minimize A (by optimization)
the contraint for each C1 and C2 is, let say 0<C1<10
and i have the initial value for c1 and c2

i have looked some of references and some of them stated that it should be done by lagrangian optimization in quadratic programming

i know a bit about linear optimization. but this problem is beyond my knowledge, especially when matrix comes in the equation

How can I do that?
Thanks a lot, and sorry: I am a newbie in optimization.
best regards,
Dahnial S

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