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By applying the generalized singular value decomposition and the canonical correlation decomposition simultaneously, we derive an analytical expression of the optimal approximate solution (X), which is both a least-squares symmetric orthogonal anti-symmetric solution of the matrix equation ATXA ＝ B and a best approximation to a given matrix X*.Moreover, a numerical algorithm for finding this optimal approximate solution is described in detail, and a numerical example is presented to show the validity of our algorithm.