Computation of the Stationary Values of the Product of Two Raleigh Quotients.
PITTSBURGH UNIV PA CENTER FOR MULTIVARIATE ANALYSIS
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A computational algorithm is developed for finding the stationary values of the function xCx square root of xAx square root of xBx where A and B are positive definite and C is a symmetric matrix. The square of the function under consideration is the product of two Raleigh coefficients xCxxAx and xCxxBx. The general problem occurs in multivariate analysis in the computation of homologous canonical variates in studying relationships between two sets of homologous measurements. The special case with CI occurs in designing control systems with minimum norm feedback matrices. Author
- Statistics and Probability