On Sat, Apr 10, 2010 at 4:58 PM, li li <hannah....@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] ?
Paul
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