On a self-consistent-field-like iteration for maximizing the sum of the Rayleigh quotients

@article{Zhang2014OnAS,
  title={On a self-consistent-field-like iteration for maximizing the sum of the Rayleigh quotients},
  author={Lei-Hong Zhang},
  journal={J. Computational Applied Mathematics},
  year={2014},
  volume={257},
  pages={14-28}
}
In this paper, we consider efficient methods for maximizing x >Bx x>Wx + x>Dx over the unit sphere, where B,D are symmetric matrices, and W is symmetric and positive definite. This problem can arise in the downlink of a multi-user MIMO system and in the sparse Fisher discriminant analysis in pattern recognition. It is already known that the problem of finding a global maximizer is closely associated with a nonlinear extreme eigenvalue problem. Rather than resorting to some general optimization… CONTINUE READING

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