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Hi<br>
<br>
I've got a (n,p) matrix M, a (n,1) vector Y, and I search for a
(p,1) vector X such as : <br>
<br>
MX = Y<br>
and <br>
var(X) is minimal<br>
<br>
p is so much greater than n and rank(M) = n<br>
<br>
<br>
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.<br>
But the fact that var(x) is not that linear makes doubt<br>
<br>
Any idea?<br>
<br>
<br>
<br>
<div class="moz-signature">-- <br>
<p style="color:teal; font-size:12pt;"><b>Adrien Vogt-Schilb</b><br>
Research Fellow<br>
<a class="moz-txt-link-abbreviated" href="mailto:vogt@centre-cired.fr">vogt@centre-cired.fr</a><br>
Tel: (+33) 1 43 94 73 96<br>
Fax: (+33) 1 43 94 73 70<br>
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