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Posted: **Tue Sep 07, 2021 7:45 am**

: Consider The Following Problem Max X Ax X X 1 Where A Is A Given Variance Covariance Matrix Show That If X Is The S 1 (28.95 KiB) Viewed 397 times

Consider the following problem: max x'Ax x'x = 1 where A is a given variance-covariance matrix. Show that if x* is the solu- tion, then x*' Ax* is the largest eigenvalue of A.