Explicit minimisation of a convex quadratic under a general quadratic constraint 9 July 2007
نویسندگان
چکیده
An analytical solution is provided to the problem of minimising a convex quadratic under a general quadratic (inequality) constraint, additional affine constraints being easily accommodated. Such problems occur widely. The explicit, analytical solution provided offers insight into the diverse nature both of special cases of this problem and of their solution sets. This sheds light on algorithm performance and design, intrinsically unstable problems being a particular focus. Points of contact with simultaneous diagonalisation results are noted. AMS classification: 15A18; 90C20
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