wonkish problem with linear algebra, projections, and fun

[Adrien Vogt-Schilb]

Hi

I've got a (n,p) matrix M, a (n,1) vector Y, and I search for a (p,1) 
vector X such as :

MX = Y
and
var(X) is minimal

p is so much greater than n and rank(M) = n


I was about to implement my problem in GAMS but i had a feeling this is 
in fact easy algebra that can be solved in 3 lines of scilab code.
But the fact that var(x) is not that linear makes doubt

Any idea?



-- 

*Adrien Vogt-Schilb*
Research Fellow
vogt at centre-cired.fr
Tel: (+33) 1 43 94 73 96
Fax: (+33) 1 43 94 73 70

CIRED

	

45 bis, Av de la Belle Gabrielle
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