I'm looking into the following:
$ \min_A \|AC_iA^T - C_R\|_F^2$
where both $C_i$ and $C_R$ are symmetric matrices. They are the covariance matrices of some random variables. I wasn't sure how to find if the following function is convex.
I'm looking into the following:
$ \min_A \|AC_iA^T - C_R\|_F^2$
where both $C_i$ and $C_R$ are symmetric matrices. They are the covariance matrices of some random variables. I wasn't sure how to find if the following function is convex.
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