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Trace Minimization

In this case we consider a ``Rayleigh quotient'' style of iteration
to find the eigenspaces of the smallest eigenvalues of a symmetric
positive definite matrix . That is, we can minimize
[14,183,392].
The minimizer will be an matrix whose columns span
the eigenspaces of the lowest eigenvalues of .

For this problem,

it is easily seen that

where

Susan Blackford
2000-11-20