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Guest
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I have an optimization problem as follows:
---------------------start--------------------
arg min ||W-MCM'||^2 + alpha * Tr(M'LM) + beta*||C||^2
M, C
s.t.
C>= 0, C_{i,i}=1,
C_{i,j} >= 0,
M_{i,j} >= 0
---------------------end-----------------------
where M is an n*r matrix and C is an r*r symmectric psd matrix. Alpha and beta are positive. L is a psd matrix. W is a symmectric matrix and 0<=W_{i,j}<=1. W, alpha, L and beta are given.
How can I efficiently solve this problem? Thank you very much! |
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