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I'm reading a paper recently and encounter a optimization equation which I can't understand:
$\max_{x\in\{x|x^TPx\le1\}} c^Tx =(cP^{-1}c^T)^{1/2} $ where $P\succ0$

Anybody knows why the result is $(cP^{-1}c^T)^{1/2} $?

1 Answers1

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From my working here using Langrange multiplier, I have shown that the optimal solution is $$x = \frac{P^{-1}c}{\sqrt{c^TP^{-1}c}}$$

Hence $$c^Tx=\frac{c^TP^{-1}c}{\sqrt{c^TP^{-1}c}}=\sqrt{c^TP^{-1}c}$$

Siong Thye Goh
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