Albers, C.J.; Critchley, F. and Gower, J. C.
Quadratic minimisation problems in statistics.
Journal of Multivariate Analysis, 102(3),
(Click here to request a copy from the OU Author.
We consider the problem minx(x – t)’A(x – t) subject to x’Bx + 2b’x = k where A is positive definite or positive semi-definite. Variants of this problem are discussed within the framework of a general unifying methodology. These include non-trivial considerations that arise when (i) A and/or B are not of full rank and (ii) t takes special forms (especially t = 0 which, under further conditions, reduces to the well-known two-sided eigenvalue solution). Special emphasis is placed on insights provided by geometrical interpretations.
Actions (login may be required)