Relative Content

Tag Archive for matlabmathematical-optimizationnumerical-methods

Use matlab to do a matrix optimization problem using fmincon

The goal of the matlab program is to find the following optimization problem:
The optimized variable are four symmetric matrices A0, A1, B0, B1 of dimension 4. rho is a given 16 * 16 matrix (assume it is identity matrix).
The constraint is -I <=A0, A1, B0, B1<= I, here A<=B means B-A is semidefinite positive.
The objective function is max Tr[(A0 otimes B0 + A1 otimes B0 + A0 otimes B1 – A1 otimes B1)*rho], where otimes means the Kronecker product.