[R] optimization w.r.t matrix

QiJun Fung coolcong at gmail.com
Tue Oct 5 20:46:18 CEST 2010

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/

+ w*t(beta)%*%beta%*%t(f)%*%Omega%*%f


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