/psd_ls

Solve Positive Semidefinte Least Squares Problem

Primary LanguageMATLAB

#Positive Definte Least Squares Problem

  min_X  a*trace(X'*X) - trace(Y'*X)
  subject to X is positive (semi)-definite matrix
  X,Y are symmetric n-by-n matrices

  using Accelerated Projected Gradient(APG) algorithm


  @author: Junhao Hua
  @email:  huajh7@gmail.com
  Latest update: 2015/4/16