On Generalizing Trace Minimization

Xin Liang, Li Wang, Lei-Hong Zhang, Ren-cang Li

Ky Fan's trace minimization principle is extended along the line of the Brockett cost function $\mathrm{trace}(DX^H AX)$ in $X$ on the Stiefel manifold, where $D$ of an apt size is positive definite. Specifically, we investigate $\inf_X \mathrm{trace}(DX^H AX)$ subject to $X^H BX=I_k$ or $J_k=\mathrm{diag}(\pm 1)$. We establish conditions under which the infimum is finite and when it is finite, analytic solutions are obtained in terms of the eigenvalues and eigenvectors of the matrix pencil $A-\lambda B$, where $B$ is possibly indefinite and singular, and $D$ is also possibly indefinite.

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