Matrix inverse in objective function
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Hi,
I am trying to find the matrix X, which minimizes the objective function. However, I see the following error:
Error using inv
Invalid data type. Input matrix must be double or single.
Error in t2 (line 11)
prob.Objective=trace(R - R*X'*inv(X*R*X' + sigma2*eye(T))*X*R);
My code snippet: (Here, T, N and sigma2 are constants and R is an NxN PSD matrix)
prob=optimproblem("Description","MSE min")
X=optimvar("X",T,N,"Type",'continuous');
prob.Objective=trace(R - R*X'*inv(X*R*X' + sigma2*eye(T))*X*R);
5 个评论
Rik
2023-11-17
Can you edit your question to provide example variables that will reproduce the error? You can use the run button to run the code in the editor.
Hi, I was trying to reproduce this error and I used the following code below.
% Set the dimensions
T = 5;
N = 4;
% Generate a random value for sigma2
sigma2 = rand;
% Generate a random NxN PSD matrix for R
R = rand(N, N);
R = R'*R; % This ensures that R is positive semi-definite
prob=optimproblem("Description","MSE min");
X=optimvar("X",T,N,"Type",'continuous')
prob.Objective=trace(R - R*X'*inv(X*R*X' + sigma2*eye(T))*X*R);
In your case, the expression X*R*X' + sigma2*eye(T) is not a double or single matrix, it's an optimization expression, because "X" is an optimization variable. The inv function cannot handle optimization expressions, hence the error. You might need to reconsider the formulation of your problem without the use of 'inv'
Sai Srikar
2023-11-17
编辑：Sai Srikar
2023-11-17
Walter Roberson
2023-11-17
Do not use inv() here. Use the \ operator
Sai Srikar
2023-11-17
采纳的回答
Bruno Luong
2023-11-17
0 个投票
The inv() is not supported by optimization expression see https://www.mathworks.com/help/optim/ug/supported-operations-on-optimization-variables-expressions.html
Workaround using https://www.mathworks.com/help/optim/ug/fcn2optimexpr.html
更多回答（2 个）
Himanshu
2023-11-17
0 个投票
Hey,
I understand that you are an encountering an error while running the given code snippet.
The error message indicates that the error occurs because the ‘inv’ function is being called with inputs of invalid datatype. The ‘inv’ function only accepts inputs of type double or single. In the given code, ‘inv’ function is trying to operate on an expression involving an optimization variable (X), which is not of type double or single.
Please refer to the following documentation page for more information on the ‘inv’ function:
Pratyush
2023-11-17
Hi Sai,
I understand that you are getting an error using the "inv" function.
The error you receive is because the "inv" function accepts matrix of data type single or double as argument, but it seems your "X*R*X' + sigma2*eye(T)" expression is not of the correct type.
To fix this issue, you can explicitly convert the matrix to the desired type using the "double" function. Try modifying the last line of your script to :
prob.Objective = trace(R - R*X'*inv(double(X*R*X' + sigma2*eye(T)))*X*R);
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