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solve_quadratic2

PURPOSE ^

x = solve_quadratic2(A,c,B,D,seed)

SYNOPSIS ^

function x = solve_quadratic2(A,c,B,D,seed)

DESCRIPTION ^

 x = solve_quadratic2(A,c,B,D,seed)
 solve min = 1/2 x'*A*x with constraint (1)
 where B*x + 1/2 D (x o x ) = c     (2)
 with symmetric matrix A and symmetric tensor D

 with a langrangian multiplier vector l 
 we get 

 min = 1/2 x' A x + l' ( B x + 1/2 D (x o x) )
 0   = x' A   + l' B + 1/2 l' (x' D )
 0   = ( A + 1/2 l' D ) x + B' l
 x = - inv( A + 1/2 l o D) B' l 

 inserting it into (2) yields
 0 = - B ( inv( A + 1/2 l o D) B' l) + 1/2 D * (( inv( A + 1/2 l o D) B' l) o ( inv( A + 1/2 l o D) B' l)) - c
 which has to be solved for l

 for the starting guess (omit quadratic term with D):

 min = 1/2 x' A x + l' B x
 => x = - inv(A) B' l
 insert in (2) in the form "B*x = c"
 yields - B inv(A) B' l  = c    so guess  l = -inv(B inv(A) B') c

CROSS-REFERENCE INFORMATION ^

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