On Sat, Apr 10, 2010 at 5:13 PM, Paul Smith <phh...@gmail.com> wrote:
>> I am trying to minimize the quardratic form w'Aw, with certain
>> constraints.
>> In particular,
>> (1) A=(a_{ij}) is n by n matrix and it is symmetric positive definite,
>> a_{ii}=1 for all i;
>> and 0<a_{ij}<1 for i not equal j.
>> (2) w'1=n;
>> (3) w_{i}>=0
>>
>> Analytically, for n=2, it is easy to come up with a result. For larger n, it
>> seems
>> difficult to obtain the result.
>>
>> Does any one know whether it is possible to use R to numerically compute it?
>
> And your decision variables are? Both w[i] and a[i,j] ?
In addition, what do you mean by "larger n"? n = 20 is already large
(in your sense)?
Paul
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