Closing the duality gap of the generalized trace ratio problem
Abstract
The generalized trace ratio problem (GTRP) is to maximize a quadratic fractional objective function in trace formulation over the Stiefel manifold. In this paper, based on a newly developed matrix S-lemma, we show that (GTRP), if a redundant constraint is added and well scaled, has zero Lagrangian duality gap. However, this is not always true without the technique of scaling or adding the redundant constraint.
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