Positive quadratic minimization under one affine constraint
ID: positive-quadratic-minimization-under-one-affine-constraint
Let be a symmetric positive-definite matrix, , and . Thenis the unique solution of minimizing the quadratic form under the affine optimization constraint . The minimum value is .
The denominator is positive because is a positive-definite matrix. The Lagrange multiplier equations give the displayed candidate and verify the constraint. For a global proof, any feasible perturbation satisfies . HenceThis is positive for every nonzero . The result also handles several independent quadratic blocks by taking to be their block diagonal matrix and concatenating their variables.
New to topics? Read the docs here!