Does any one know how to optimize the following function w.r.t to
beta? The difficulty here is the beta is a matrix not a vector. and f
is also a function of beta and an element of the objective function. I
just want to know for this complicated situation, is there any
packages or function to estimate matrix beta? All the packages I found
can only estimate the vector beta. Thanks very much!
object.fn <- function(beta)
{
p <- M
f <-solve(diag(p)+w*Omega)%*%t(data.hist)%*%beta/
(norm(solve(diag(p)+w*Omega)%*%t(data.hist),"F"))
sum(diag((data.hist-beta%*%t(f))%*%t(data.hist-beta%*%t(f))))
+ w*t(beta)%*%beta%*%t(f)%*%Omega%*%f
}
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