JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS: Vol. 31, No.

3, JULY 1980

A Trace Minimization Problem with Applications

in Joint Estimation and Control
under Nonclassical Information
T . B A S A R ~.

Communicated by Y. C. Ho

Abstract. Let A and E be positive-definite matrices of dimensions

n x n and m x n. Then, this paper considers the problem of minimizing
Tr[A(I + C'C) -1] over all m x n real matrices and under the constraint
Tr[~CC'] ~<1. The solution is obtained rigorously and without a priori
employing the Lagrange multipliers technique. An application of this
result to a decentralized team problem which involves joint estimation
and control and with signaling strategies is also discussed.
Key Words. Nonlinear programming, quadratic inequality constraints, team problems, signaling strategies, nonclassical information.

1. Introduction
In this paper, we report the solution of the following trace minimization
problem [Problem (A)]:
(A) min J ( C ) ,

(1- t)

where
J((~) = Tr[_A(/. + ~ , ~ ) - 1 ] ,

(1-2)

l~ ~ {C e Mm~: T r [ C ' ~ C] ~ 1},

(1-3)

M , ~ = space of m x n real matrices,

(1-4)

AcM,,,

~. e Mmm,

A>0,

In = n x n identity matrix.

~>0,

(1-5)
(1-6)

Senior Research Scientist, Applied Mathematics Division, Marmara Scientific and Industrial
Research Institute, Gebze, Kocaeli, Turkey.
343
0022-3239/80/0700-0343503.00/0 ~) 1980 Plenum Publishing Corporation

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Let H be a unitary matrix, such that
II'~II = E = diag(o-1,..., o'm),

o-~~ o'~+1,

(2-1)

and let
C = II'C'.

(2-2)

Then, Problem (A) becomes isomorphic to Problem (B) formulated below;

i.e., the solution of one problem can be obtained from the solution of the
other by a unitary transformation [Problem (B)]:
(B) rnin ](C),

(3-1)

where J is defined by (1-2) and li by

~ {C c Mmn: Tr[C'EC] ~<1},

(3-2)

with E being diagonal as given by (2-1).

It should be noted that Problem (B) admits a global minimizing
solution, since ](C) is continuous and f~ is compact. In the sequel, we seek to
obtain such a solution, which is given in Theorem 2.2 after a series of
lemmas. Such an optimization problem arises within the context of a
nonclassical joint estimation and control problem. This intimate relation is
discussed in Section 3, where we also provide the solution of the related
estimation and control problem. Another application of the result can be
seen in the encoder-decoder design for multichannel communication
systems.

2. Solution o[ Problem (B)

We first make use of'the following lemma to convert Problem (B) into
an equivalent minimization problem with equality constraints.
Lemma 2.1.

The constraint set li of Problem (B) can be replaced by

lip ~ { C ~ Mm~: Tr[C'EC] = 1},

(4)

without any loss of generality.

Proot. Assume the contrary; i.e., there exists a solution Co to Problem
(B), such that

Tr[C'oECo]=a<l,

a>0.

It should be apparent that a = 0 cannot be possible, since it corresponds to

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345

the maximizing solution C = O. Now, let e be chosen, such that

0 < e <~ 1 / ~ / a - 1 ,
and define
d=(l+E)C0.
Note that C is in f~, since
T r [ d ' ~ d ] = (1 + e) 2 Tr[C/~ ZC0] ~<a / a = 1.
From the definition of C, we have

A ~ d'd-C;Co>~O,
and A has at least one positive eigenvalue, since Co is at least of rank one (o~
being positive). This implies that the matrix
B ~ (I. + d ' d ) - ' - (I. + c ; c 0 ) - '

-< 0

has at least one negative eigenvatue. Thus,

J ( d ) - J(C0) = Tr[AB] < 0,
since A > 0, which is a contradiction.
[]
We thus now seek the solution of the following problem [Problem (C)]:

(c)

m22Y(c),

(5)

where l~p is defined by (4).

Every solution of this minimization problem will have the following
property.
Lemma 2.2.

Let Co ~ f~p be a solution. Then, A and CoCo commute. 2

Proof. Let ~ denote the set of all n x n real, skew-symmetric

matrices. Then, for every H e N, t e R, C = Co exp(tH) is also in f~p. This
implies that, for all H ~ ~d,
J(C0) = min Tr[A(In + exp(-tH)C'oCo exp(tH) -1]
t

= min Tr[exp(tH)~ e x p ( - t H ) ( I , + C;C0)-~],

(6)

where the last line follows, since exp(tH) is unitary. Using the polynomial
expansion of exp(tH), we have
exp(tH) = In + t H + 0(t),
2 The proof given in the sequel is in the same spirit as that of Lemma 3 of Ref. 1.

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where 0(t) denotes an n x n matrix with the property that

lim[O(t)/t] = On,
t~O

where 0 n is the n x n zero matrix. Using this expansion in (6) and defining
go g (In + C;C0) -1,
we can rewrite Eq. (6) as an inequality:
Tr[5`Ko] ~<Tr[[I + tH + 0(t2)]5`[I - tH + O(t2)]Ko],
which further reduces to

0 <~T r [ t H s ` K o - ts`HKo + 0(t2)],

(7-1)

which should hold true for all H e ~f, t c R. Dividing by t > 0, letting t ~ 0,
and rearranging yields
0 ~ Tr[H[A, Ko]],

for all H c ~,

(7-2)

where
[A, Ko] = A K o - KoA
is the commutator bracket of 5` and Ko. Since we could also have divided
(7-1) by t < 0, the direction of inequality in (7-2) could have been reversed.
Thus we have, as a necessary condition,
0 = Tr[H[A, Ko]],

for all H ~ ~ ,

which further implies that

[ L Ko] = 0,

(8)

since one can choose

H = [ L K0] e
and
Tr[H 2] = 0,

for any H ~ ~f,

implies that H = 0~. Now, since (8) is equivalent to

[Ko t, 5`] = [I, + C'oCo, 5,] = O,
and since In commutes with every n x n matrix, the result follows.
Corollary 2.1.
matrix P, such that

[]

Let Co ~ f~p be a solution. Then, there exists a unitary

P'5`P = A = d i a g ( M , . . . , A n ) ,

]~i~)ki+l,

(9)

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347

and P'C'oCoP is diagonal. Furthermore, such a unitary transformation does

not alter the equality constraint that characterizes fZp; in other words,

CoP E l~p.
Proof. This result is a direct consequence of Lemma 2.2 and the
well-known fact that commuting matrices can be simultaneously diagonalized by a unitary transformation. Furthermore,
Tr[P'C~ Z CoP] = Tr[PP: C ; E Co] = T r f C ; E Co],
since P is unitary.
[]
It now follows directly from this corollary that Problem (C), and
consequently Problem (B), becomes equivalent to the following problem
[Problem (D)]:
(D) rain J ( G ) ,

(10-1)

Yto

where

J(G) = Tr[A(i + G'G)-~],

f~0~{G c ~e: G'G is diagonal}.

(10-2)
(10-3)

Remark 2.1. It should be noted that, if G ~ f~o is a solution of

Problem (D), then GP ' is a solution of Problem (C), where P is uniquely
defined by (9). Conversely, if Co c f~v is a solution of Problem (C), CoP ~ f~o
is a solution of Problem (D).
Let us now introduce the decomposition
G = [gl, g2 . . . . . g~],

gi ~ R '~,

(11)

g~ a column vector, for any G ~ M .... We now note that

G6~o~g'~gj=O,

for all i,j, i~j,

(12)

and thus

Tr[G'EG]=Tr[EGG']= ~ Tr[Zg~gl]--- ~ gi'Z gi.

i~1

i=1

We therefore observe that ProNem (D) can be reformulated as follows

[Problem (E)]:

(E) %n J({g3),

(13-1)

g'~Zg~ = 1,

(13-2)

subject to
i=l

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where

J({g,}) = ~ [A~/(1 + g'~g,)],

(13-3)

i=1

and ~ is the set of orthogonal n-tuples {gi,. . , gn} in R m. It should be noted

that the number of such nonzero vectors is at most rain(n, rn).
Using this new formulation for Problem (D), we can now prove the
following result.
Lennna 2.3. Let G O~ f~0 be a solution for Problem (D). Then, gO is
either an eigenvector of ~ or a zero vector, for i = 1 . . . . . n.
Proof. Since E is diagonal with positive eigenvalues, the constraint
equation (13-2) describes a hyperellipsoid, and all points on that surface are
regular. Letting
I--~ {i: g,~ ~0},
we note that the constraints
g~gj = 0,

i~],

i,]eI ,

(14-1)

are also regular. Thus, Lagrange multipliers can be introduced to obtain a

necessary condition for any extremizing solution of Problem (E) to satisfy.
Let ~ denote the Lagrange multiplier of (13-2), and let ~j be the Lagrange
multiplier of (14-1). Then, a first-order necessary condition can be obtained
by setting the gradient of
J + ~ ~g;Eg,+ Eog',gj~ u
i~l

i,]~l

with respect to g~, i = 1 . . . . , n, equal to zero. This yields the equation

o' 0,2n/ ~ o
0
{~:~-[x,i(l+g,
g,) j m~g~+ E gj,i
=0,
i=1 ....
n.
,

i:/o

(14-2)
Since {gO, i ~ io} are linearly independent, it follows from (14-2) that
~i = O,

i,j1

i~j,

and that gO is an eigenvector of Y~.

[]
It therefore follows from L e m m a 2.3 that each gO should have at most
one nonzero element. But the location of those nonzero elements is not yet
determined. The following lemma does that.

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1980

Lemma 2.4. Let G ~ tqp be a solution for Problem (D), with the
eigenvalues of E and A ordered as in (2-1) and (9), respectively. Then, with a
possible exception of the ith location, all other elements of gO are zero, for
0
i = 1 . . . . . n. Note that, if n > m , this implies that g~---=-0,
for i>~m.
Furthermore, for all i such that A, > h~+~, we have
O' 0 z~_ O'

(15)

gi gi ~ gi+lgi+l.

Proof.

We first prove (15). Let us first introduce the notation

Y~g I] (l+g}gi).

(16-1)

]=1

Then, (13-3) can be written as

J({yi}) = i hiYi/(1 + g~gl)"/l.

(16-2)

i=1

Now, for a solution G , let us assume that (15) does not hold true for i = k,
i.e.,
0' 0 ~

0'

g k g k ~- gk+tgk+~

and

Ak > hk+~.

Using (16-1), this implies that

0
~fk+l < ,yo

(17-1)

Since the denominator of (16-2) is independent of the permutation of the

indices {i}, we can rewrite (16-2) as
o/( 1+ g log, lo) ' r l ]o+ [ 1 / ( l +

o,o

gl gl)'~l](hk~/k dr" } k k + l ~ k + l ) .

i=1
i~k, k + !

However, if we define G as
~i = gO

i k, k + 1,

(17-2)

~k = gO+~,

(17-3)

~k+~ = gO,

(17-4)

it is still in 12o, and thus it is an admissible candidate for a solution. Now,

j({3,o})_j({~@=[1/3,O1(l+

o,o

and, since
0

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1980

from (16-1) and (17), and since/~k >~k+l by hypothesis, we finally obtain

> 0,
which is a contradiction to the optimality of G .
To prove the first statement of L e m m a 2.4, we follow a similar
approach. Let G o ~ f~o be a solution that does not satisfy the first statement
of the lemma. This then implies that there exists a permutation of indices {i},
to be denoted by/3(i), with fiG) ~ i, such that
(g~0' g~0 )o'mo = 1.

(18)

i=1

Let
A

0' 0

ai = g~ g~.

If/~i >/~'+1 for a particular i, then a, 1>a,+l from (15). If A, = I,+1, we can still
order the indices of ai such that ai >/o~i+1, since the objective functional J is
invariant under any such permutation. Hence, (18) can be written as

OLiO'~(i) = 1,
i=i

It is well known that

min ~ a~cq3(o
t3(i) i=1

is attained by choosing/3(i) -----i, since that particular choice orders o't3(~) in

nondecreasing magnitude. We thus have
min )2 aio'~(0 = 8 < 1.
t3(i) i = 1

Now, redefining
~i = OLi/ t~,

we observe that G defined by

n>m,
m ~n,

l[gl,.,
satisfies the constraint (13-2) and
S((~,}) < S({g }),

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351

since ffi > ai > 0, for at least one i. This then constitutes a contradiction to
the optimality of G .
[]
Corollary 2.2. Let G O be a solution for Problem (D). Then, there
exists an integer p ~<rain(m, n) and constants a1 t> o~2~ " " ~ O/p 0 , such
that

go = ( ~ ,

0 , . . . , 0),

go = (0, 4 ~ , 0 . . . . ,0),
(19)
gp = (0,. . . , 0 . , /.~ , o. , .
gO = ( 0 , . . . , 0 ) ,

,o),

p < i ~ < n.

Problem (E) thus reduces to the following problem [Problem (F)]:

(F) m i n J p ( a l , . . . , ap),

(20-1)

over the set of positive scalars { a s , . . . , ap} and integers p ~ rain(m, n), and
subject to
P

Y. a~r~ = 1,

(20-2)

i=1

where

Jp(o~l,...,%)= ~ [)tff(l+~,)]+ i=p+l

i )t~.

(20-3)

i=1

The following theorem gives the solution of Problem (F).

Preliminary Notation.

For p ~<min(n, m), let

f(p)~/(crp/Xp) ~.~/(o'~Ai)-~
i=t

o',.

(21)

i~l

Furthermore, let p* ~<rain(n, m) be an integer given by

(i)

p* = min(n, m),
if f(min(n, m)) < 1;

(ii)

f(p*)<l<~f(p*+l),
if f(min(n, m)) t> 1.

(22-1)
(22-2)
(23-1)
(23-2)

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Theorem 2.1. There exists a unique p* that satisfies (22)-(23), and the
solution of Problem (F) is given uniquely by

p0 = p,,
ai = - 1 +

(24)
~/(&lo-~)l 2 ~/(os.)tj) 1+ o? > 0 .
j=i

(25)

j=l

Proof. Under (22-2), p* given by (22-1) is unique by definition.

Furthermore, since
P

f ( p + 1 ) - / ( p ) = [4(o'p+l/()te+l)-,./(o'p/;te) ] ~, ~/(o'P,i),
i=1

and since {o'i/)t~} is a nondecreasing sequence, it follows that f(p) is a

nondecreasing function of p. This then implies that there exists a unique p*
that satisfies (23-1); in other words, under (23-2), p* is the maximum integer
that satisfies the inequality f(p) < 1.
To prove (24) and (25), we know a priori that Problem (F) admits a
solution for some p ~<min(n, m), since Problem (B) admits a solution.
Furthermore, since al . . . . , ap are required to be positive, the solution will
be an inner point. Solving for ap from (20-2), substituting into (20-3), taking
the derivative of the resulting expression with respect to a~, and setting it
equal to zero, we obtain the set of necessary conditions
Ai/(1 + o t l )

2=

(o'do'p)[Av/(1 + ae)2],

i = 1 . . . . . p - 1,

from which a~ can be solved to yield the unique expression

a, = -1 + (1+

ap)4(x,o.,,lxpo'3.

(26)

Substitution of (26) into (20-2) yields a unique equation that a e should

satisfy, from which ap can be solved to obtain
a e = [1 - f ( p

p)

o'~ ,

(27)

where f(p) is defined by (21). Now, if (~x,..., a ) denotes a solution to

Problem (F), then we know that
O~ 3 -

- ~~O ~ po > 0 ,

and thus the expression given by (27) should be positive. Furthermore, we

note that, if ae given by (27) is positive for some p ~<rain(n, m), then ai > 0 ,
i < p, since

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moreover, ai+l ~<ai, since {aJo-i} is a nonincreasing sequence. This therefore

implies that the optimum p0 is the largest integer p for which ap given by (27)
is positive. Since the denominator of (27) is always positive, (24) readily
follows. It should be noted that a choice p0 < p , is not possible, since this
would imply that
0

ai = 0 ,

p<i~p*,

which cannot be the relevant components of a stationary point of Jp., by the

preceding argument. Finally, substitution of (27) into (26) with p = p* yields
the unique expression (25) for a .
[]
Corollary 2.3.

The unique minimum value for Problem (F) is

.... ap)=

(o-~h~)

i+ 2 o'i +

Li=I

i=l

a~.

(28)

i=p*+!

Proof. This follows by direct substitution of (25) into (20-3).

[]
We now proceed backward to obtain the solution of Problem (A). First
of all, we note that
G O = [gO,

. . . , g op , , 0 , . . . , 0 ] ,

(29-1)

with

go = (4 o, o , . . . , o)',
go = (o, 4 , , o , . . . , o)',
(29-2)
0 = (0,
gp*

....

0,~/ O/p%
o 0 .....

0 ) r,

and a given by (25) constitutes a solution to Problem (D). This solution is

not necessarily unique; if o'p, = ~rp*+l and Ap, = Ap*+l, then gO. can be taken
zero, while go*+1 is taken with ~ / ~ , at the (p* + 1)th location; but this does
not change tile constrained minimum value of J(G), which is given by (28).
Furthermore, the constraint (10-3) is also invariant under such a transformation on G . Hence, we will say that the solution of Problem (D) is
essentially unique; among all the solution candidates, the only one that
satisfies (15), for all i, is G Ogiven by (29).
It is now not difficult to see that the solution of Problem (A) can be
obtained from the solution of Problem (D) by two unitary transformations II
and P. Thus, we have the following final result.
Theorem 2.2. Let the eigenvalues of A and Z be given by )t~ ~ Z 2 ~>
1>A, > 0 and o-m >~. ~ era > 0, respectively. Then, the minimum value

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of Problem (A) is
J*=

37[

~/(o'~hi)
I..i=1

1+ E o"i +
i=1

hi,

(30)

i=p*+l

where p* is uniquely defined by (22)-(24). A corresponding minimizing

solution is
C o = H O P ',
where II and P are defined by (2-1) and (9), respectively, and G Ois given by
(29) and (25-2).
Remark 2.2. If the upper bound in (1-3) is not one, but another scalar
/z, this can be absorbed in Z by scaling all its eigenvalues by a factor 1//~. If
this is carried on, it follows that the minimum value J* given by (30) will then
be replaced by
Li=I

4( ih,)

]7{ . + 2"} +
i=l

E h,,

i=p*+l

(3a)

where p* is defined by (22)-(23) with 1 replaced by/x.

Remark 2.3. Another approach to obtain the result of Theorem 2.2 is
first to adjoin the constraint on the objective functional (1-2) via a Lagrange
multiplier and then to investigate the first-order and second-order conditions. A rigorous derivation of the said conditions, however, is difficult to
obtain for the problem under consideration. For such an ad hoc solution of a
similar problem, arising in communication theory, the reader is referred to
Ref. 2.

3. An Application to Joint Estimation and Control

Consider the following two-stage stochastic decision (team) problem
with nonclassical information structure. A special version of this problem
was first mentioned in Ref. 3 and then discussed in Refs 4 and 6.
Let x denote an n-dimensional Gaussian vector with mean zero and
covariance A >(~. Decision maker DM1 wishes to estimate the value of x
based on a noisy observation y, where
y = u ( x ) + w,

(32)

with u(-) being the decision rule of decision maker DM2, of dimension
m ~<n, and w being an m-dimensional Gaussian random vector of mean

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355

zero and covariance Z > 0. In decision and control theory, u ( - ) is also known
as a signaling strategy, since D M 2 signals the value of x to DM1 through the
(possibly lower-dimensional) observation vector y. In doing this, D M 2
would also like to keep the signaling p o w e r as low as possible; hence, the
problem is to find an estimator &(. ) and a decision rule u(.), such that the
objective functional

J(8, u) = E[(6(y) - x)'O(8(y) - x) + u'(x)Du(x)]

(33)

is jointly minimized over admissible 6 ( . ) and u(.), and for appropriately

chosen weighting matrices O > 0, D > 0.
T o show the applicability of T h e o r e m 2.2 to this problem, we further
assume that the signaling strategy is linear, i.e.,

u(x) = Ax,

(34)

for some m x n matrix A. 3 U n d e r such a choice for u(-), (33) is minimized by

a unique 6 ( . ) for each A, which is
60(y) = E[x ]y] = A A ' ( A A A ' + Z)-]y.

(35)

Substitution of (35) into (33) and manipulation yield an expression in terms

of

C & (Z1/2)-~AA~/2,

(36-1)

which is

J(C) = T r [ 0 ] - Tr[QC'(CC'+ I)-~C] + Tr[CC'E3],

(36-2)

where
() ~ A1/zOA]/2,

(36-3)

1~)~ Y.,t/2D~l/2.

(36-4)

Furthermore, using the well-known identity

C'(CC'+ Z)~~ C = Jr - ( I + C'C) -~

in (36-2), we finally obtain

J ( c ) = Tr[0(I + C'C) -~] + Tr[C'bC],

(37)

which has to be minimized over all real m x n matrices C. It should be noted

3 Whether such a choice is optimal within the general class of strategies could be investigated (as
has been done in Ref. 3 for a special version), but this is not the intent of the present paper.
This problem is in fact considered in Ref. 5 within the context of a vector-source muttichanneI
communication system (see Section 4).

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that, since

J(c)~>0,

J(0) = T r i O ] < co,

and J is continuous, we can restrict the search of a minimizing solution to a

compact subset of R m~, and consequently a solution exists. Let Co be such a
minimizing solution, and let
Tr[C~/)Co] =/zo.

(38)

Then, Co is definitely also a solution of the minimization problem

min Tr[O(I + C'C)-I],

(39-1)

~~lzo

where
f~,o = {C e Mm,: Tr[C'/)C] =/Zo}.

(39-2)

Therefore, the problem of minimizing (37) can be done in two steps.

Step (i). Determine
F(/Z) = min Tr[()(I + C'C)-I],

(40)

where 12~ is defined by (39-1), with/zo replaced by/Z > 0. This is precisely
Problem (C), with ~p replaced by 1)~, and thus F(/Z) can be obtained from
(31) for each/z > 0.
Step (ii). Minimize F(/Z)+/Z over/Z I>0, where F(/Z) is given by (40)
for positive /z, and by F ( 0 ) = T r [ 0 ] for /Z = 0, provided that we identify
11/> )t2 i>- /> ~t, > 0 as eigenvalues of 0 and 0-m >i 0-m-1 ~>" ~>O'1 > 0 as
eigenvalues o f / ) .
F(/Z) is actually defined in m different regions in the/,-domain, each
region determined from inequalities (23-1) with 1 replaced by/Z. It can be
shown that F ( . ) is both continuous and continuously differentiable across
the boundaries, although it will be sufficient to differentiate F(. ) in each of
the intervals determined by (23). If the solution of our problem is an inner
point (i.e.,/z0>0), then/z0 should be a stationary point of F(/Z)+/z in at
least one of these regions. In other words, the solution of
-- i---~1~/(0-iAi)

]7[

/z-lt- i=l
~ 0-i

+1=0

(41-1)

should give us /zo for some particular p. Solving the above equation, we
obtain
p

/Z = 2 (~/(o9~i)- <).
i=1

(41-2)

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357

Since this has to be positive by hypothesis, we immediately have the

following conclusion.
Theorem3.1. L e t A l ~> ' - .~>An>0andc~m>~ -. .~>o'~>0denotethe
eigenvalues of 0 and /), respectively. Then, if the expression (41-2) is
nonpositive for all p ~<m, p-0 is necessarily zero. Consequently, the joint
estimation-control problem under consideration admits a unique solution,
given by
A0 = 0,

80(y) = 0.

Now, the fact that (41-2) is positive for some integer p does not
necessarily imply that the resulting/x is optimal, since we also have to check
whether the resulting/x is in the right region governed by p. This is verified
by employing inequality (23-1) with 1 replaced by /x. The result is the
condition
~/(trp/Ap) ~ 4(~riA~)< ~ v/(~A~)
i=l

(42)

i=1

for that particular p for which (41-2) is positive. If no such p can be found
[i.e., an integer p ~<m that satisfies (42) and simultaneously makes (41-2)
positive], then the conclusion is again that of Theorem 3.1, i.e.,/x0 = 0.
If positivity of (41-2) and condition (42) are satisfied by more than one
p, then one has to compare the resulting values of F(/x) +/x with one another
and also with F(0). Hence, in the most general case, the final solution can be
obtained after a finite number (~<m) of comparisons. To illustrate this, let us
consider the following numerical example.

Example 3.1. Assume

n =4,

m =2,

Al=9,

A2=A3=4,

A4= ~1 = ~ 2 = 1.

Then, there are two regions: Region I, where 0 ~</x ~< 1/2; and Region I1,
where/x > 1/2. F ( . ) can be obtained as

[9/(/x + 1)+9,
F0x) = [ 2 5 / ( ~ + 2) + 5,

in Region I,
in Region II.

F(/z) +/z has a unique stationary point which is/x = 3 and is in Region It.
The minimum value of (33) is then F(3) + 3 = 13, for that particular choice of
eigenvalues.

358

JOTA: VOL. 31, NO. 3, JULY 1980

4. Conclusions

In this paper, we have obtained rigorously the solution of a trace

minimization problem under a quadratic inequality constraint and without
employing the Lagrange multipliers technique. This nonlinear programming
problem has then been shown to be related to a decentralized stochastic
team problem which involves joint estimation and control, and a nonclassical information structure. A decision maker wishes to estimate the value of a
Gaussian random vector by making use of a noise corrupted observation, in
which the said random vector appears only implicitly through the signaling
strategy of another decision maker; and, in estimating the value of the
random vector under quadratic expected loss, DM1 has also to take into
account the soft constraint on the strategy of DM2. This is thus a joint
minimization problem with strictly nonclassical information structure, and
its solution has been discussed in Section 3 under the assumption that DM2
uses only linear strategies. It has been shown that the solution of the trace
minimization problem obtained in the main part of the paper could be
effectively used to obtain explicitly the solution of that particular team
problem.
Now, as has been mentioned in Section 3, the scalar version of this
decision problem with nonclassical information structure first appeared
in Ref. 3, where Witsenhausen commented on the applicability of
certain results from information theory to prove that the linear solution is
actually optimal within the class of all measurable mappings. Verification of this result basically involves obtaining the Shannon performance
bound for a related communication problem and showing that linear
decision rules actually attain that bound (see Ref. 4). Recently, using
a similar technique, this result was extended to the decision problem
of Section 3, but with the specific choices n = m, O - - E = A = In, and it
was shown that linear decision rules are still optimal within the general
class of decision rules (Refs. 4, 6). For n ~ rn, however, it has been discussed in Refs. 4 and 6 that nonlinear decision rules could result in better
performances.
In Ref. 5, the vector-source multichannel communication problem
related to the decision problem of Section 3 has been investigated
for general parametric values, and it has been shown that it is possible
to determine the Shannon performance bounds explicitly and that,
even if n ~ m and ~ and A have distinct eigenvalues, the linear coding
could achieve a performance very close to Shannon bounds. All these
results imply that there are cases when the linear decision rules described
in Section 3 could be optimal or nearly optimal even outside the linear
class.

JOTA: VOL. 31, NO. 3, JULY 1980

359

References
I. WITSENHAUSEN, H. S., A Determinant Maximization Problem Occurring in the
Theory" of Data Communication, SIAM Journal on Applied Mathematics, Vol.
29, pp. 515-522, 1975.
2. LEE, K. H., and PETERSEN, D. P., Optimal Linear Coding for Vector Channels,
IEEE Transactions on Communications, Vol. COM-24, pp. 1283-t290, 1976.
3. WITSENHAUSEN, H. S., The Intrinsic Model for Discrete Stochastic Control:
Some Open Problems, Control Theory, Numerical Methods, and Computer
Systems Modelling, Edited by A. Bensoussan and J. L. Lions, Springer-Verlag,
New York, New York, 1975.
4. KASTNER, M. P., Information and Signaling in Decentralized Decision Problems,
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