Random Walk Matrix Optimisation

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

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