统计学习精要 (Elements of Statistical Learning ) 习题 4.1
2017-04-29 15:11
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统计学习精要 (Elements of Statistical Learning ) 习题 4.1
Show how to solve the generalized eigenvalue problem maxaTBa subject to aTWa=1 by transforming to a standard eigenvalue problem.
思路:
maxaTBa s.t. aTWa=1
对应的Lagrangian算式是 L=aTBa−λ(aTWa−1).
令∂L∂a=0,则2Ba−2λWa=0,即W−1Ba=λa。因此原问题的解是W−1B的特征向量。
Show how to solve the generalized eigenvalue problem maxaTBa subject to aTWa=1 by transforming to a standard eigenvalue problem.
思路:
maxaTBa s.t. aTWa=1
对应的Lagrangian算式是 L=aTBa−λ(aTWa−1).
令∂L∂a=0,则2Ba−2λWa=0,即W−1Ba=λa。因此原问题的解是W−1B的特征向量。
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