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Given an N-dimensional matrix A, I want to find an M<N dimensional index array I such that the submatrix A[I, I] has the maximum element sum over all such I vectors.

For example for 3-dimensional

A = 
1  2  3
4  5  6
7  8  9

and 2-dimensional index [1,3]

A[(1,3), (1,3)] = 
1  3
7  9

So basically this is a discrete optimisation problem with N choose M possible solutions.

Is there an efficient way to find the best solution?

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    $\begingroup$ Are the entries in $A$ all nonnegative, or could some entries be negative? $\endgroup$ – Brian Borchers Jan 10 at 16:32
  • $\begingroup$ @BrianBorchers, $A$ is a correlation matrix, so potentially [-1,1]. But most use cases for me have only nonnegative elements (or small neg numbers can be treated as 0 considering estimation error). $\endgroup$ – jf328 Jan 13 at 0:53
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This is a binary knapsack problem which is known to be NP-hard. No efficient algo exists yet, but there are algos that can solve problem up to size of 400 variables (according to a paper published in 1999).

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