2003 IEEE International Conference on Acoustics, Speech, and Signal Processing, 2003. Proceedings. (ICASSP '03).
DOI: 10.1109/icassp.2003.1201642
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A general solution to the maximization of the multidimensional generalized Rayleigh quotient used in linear discriminant analysis for signal classification

Abstract: A more general solution and a new didactic demonstration of the maximization of the multidimensional case of the Generalized Rayleigh Quotient are described. This solution will not only be the well-known eigenvectors solution widely available in the literature hut also a general transformation that is not necessarily orthogonal. The demonstration uses only basic linear algebra and simple lagrangian maximization to find the transformation matrix that maximizes the multidimensional Generalized Rayleigh Quotient … Show more

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Cited by 33 publications
(20 citation statements)
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“…The ratio in Equation 4 is a generalized Rayleigh quotient [13] whose maximum can be found through a generalized eigen decomposition of the matrices X'X and (X-QX)'(X-QX) . This results into two matrices W ,…”
Section: Methodsmentioning
confidence: 99%
“…The ratio in Equation 4 is a generalized Rayleigh quotient [13] whose maximum can be found through a generalized eigen decomposition of the matrices X'X and (X-QX)'(X-QX) . This results into two matrices W ,…”
Section: Methodsmentioning
confidence: 99%
“…The maximization of equation (15) can now be immediately recognized as Generalized Rayleigh Quotient maximization problem [24] in absence of constraint ū k = 1 for which the optimum solution is given by the largest generalized eigenvector of the matrix pair (Ĥ k ,Ŵ k ). Furthermore, in [25], the optimal solution is still given by the largest eigenvalue of W −1 k ·Ĥ k , also under desired constraint ū k = 1, thus…”
Section: B Beamformer Optimization Under Fixed Powermentioning
confidence: 99%
“…which holds a generalized RQ structure, such that the optimal solution to u k is obtained by [26] Computev k ∀k from equation (14).…”
Section: ) Design Of Rx Combiner U K ∀Kmentioning
confidence: 99%