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雷达卡
The Element of Statistical Learning – Chapter 4
oxstar@SJTU
January 6, 2011
Ex. 4.1 Show how to solve the generalized eigenvalue problem max aT Ba subject to aT Wa = 1 by
transforming to a standard eigenvalue problem.
Answer W is the common covariance matrix, and it’s positive-semidefinite, so we can define
1 1 1
b = W 2 a, a = W 2 b, aT = bT W 2
Hence the generalized eigenval ...
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