Formula

Minimizer of an Eigendecomposed Quadratic Function

When a quadratic optimization problem f(x)=12xQx+cx+bf(\mathbf{x}) = \frac{1}{2} \mathbf{x}^\top \mathbf{Q} \mathbf{x} + \mathbf{c}^\top \mathbf{x} + b is simplified using the eigendecomposition Q=UΛU\mathbf{Q} = \mathbf{U}^\top \boldsymbol{\Lambda} \mathbf{U}, the transformed variables become xˉ=Ux\bar{\mathbf{x}} = \mathbf{U} \mathbf{x} and cˉ=Uc\bar{\mathbf{c}} = \mathbf{U} \mathbf{c}. In this simplified coordinate system, the optimal minimizer is directly computed as xˉ=Λ1cˉ\bar{\mathbf{x}} = -\boldsymbol{\Lambda}^{-1} \bar{\mathbf{c}}, yielding a minimum function value of 12cˉΛ1cˉ+b-\frac{1}{2} \bar{\mathbf{c}}^\top \boldsymbol{\Lambda}^{-1} \bar{\mathbf{c}} + b. This formulation is highly efficient to calculate because Λ\boldsymbol{\Lambda} is a diagonal matrix containing the eigenvalues of Q\mathbf{Q}, allowing each coordinate to be solved individually.

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Updated 2026-05-15

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