Association Journal of CSIAM
Supervised by Ministry of Education of PRC
Sponsored by Xi'an Jiaotong University
ISSN 1005-3085  CN 61-1269/O1

Chinese Journal of Engineering Mathematics ›› 2017, Vol. 34 ›› Issue (1): 87-99.doi: 10.3969/j.issn.1005-3085.2017.01.009

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Generalized Eigenvalue Problems and Computation of Angles between Two Linear Manifolds

ZHANG Sheng-gui   

  1. School of Mathematics and Computer Science, Fujian Normal University, Fuzhou 350007
  • Received:2014-09-19 Accepted:2016-07-06 Online:2017-02-15 Published:2017-04-15
  • Supported by:
    The National Natural Science Foundation of China (11301080); the Natural Science Foundation of Fujian Province (2013J05002).

Abstract:

The angle between two nontrivial linear manifolds in the high dimensional Euclidean space can be characterized as a quadratic programming with quadratic equation constraints (QP-QEC). The computing of such angles has many important applications in statistics and data analysis, such as the canonical correlation analysis and the kernel correlation analysis between two multivariate random vectors. This paper explores the relationship between a more general QP-QEC and its corresponding generalized eigenvalue problem in terms of the KKT conditions. On this basis, we design an algorithm for computing such an angle by means of the solution method of the generalized eigenvalue problem.

Key words: generalized eigenvalue problem, linear manifold, quadratic programming, angle

CLC Number: