Matrix Trace Minimization Problem using optimization method/solver

Question

Is there any optimization method/solver in mystic or scipy.optimization library that solves the problem in the matrix domain. In other words, is there any optimization method/solver that accepts matrix as an argument and minimizes its trace?

Answer 1

The trace of a matrix is:

tr(A) = sum(i, a[i,i])

So, depending on the rest of the model, (almost) any solver will allow you to use an objective like this. It is linear and is as easy and well-behaved as it gets. It is about the best objective you will ever see.