Random Walk Matrix Optimisation

6 views (last 30 days)
Stefan Cutajar
Stefan Cutajar on 23 Jul 2015
Commented: Torsten on 23 Jul 2015
Does any one know how to perform a random walk method of optimization with matrices in MATLAB?
I have an initial matrix Q, an eigenvalue matrix L and an eigen vector V such that R=VLV'. From these I need to solve the following problem:
minimize : |Q-R| (wrt to L) such that 1. Tr(L)=a (a some constant) 2. Det(L)>0 3. R (which is VLV') is Positive semidefinite (or eig®>=0)
If anyone has any clue how I can go about solving this please let me know.
Thanks, Stefan.

Accepted Answer

Torsten on 23 Jul 2015
help fmincon
Best wishes
Torsten on 23 Jul 2015
You will have to break everything down to the level of the matrix entries (which are scalars).
Best wishes

Sign in to comment.

More Answers (0)

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!