The Element of Statistical Learning – Chapter 4
                          oxstar@SJTU
                         January 6, 2011

Ex. 4.1 Show how to solve the generalized eigenvalue problem max aT Ba subject to aT Wa = 1 by
transforming to a standard eigenvalue problem.
Answer W is the common covariance matrix, and it’s positive-semidefinite, so we can define
                      1            1         1
                b = W 2 a,     a = W 2 b,     aT = bT W 2
  Hence the generalized eigenval ...