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Minimization of a Large-Scale Quadratic FunctionSubject to a Spherical Constraint

โœ Scribed by Sorensen, D. C.

Book ID
118205139
Publisher
Society for Industrial and Applied Mathematics
Year
1997
Tongue
English
Weight
336 KB
Volume
7
Category
Article
ISSN
1052-6234

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We present a way of solving the problem of minimizing the root of quadratic functional subject to an affine constraint. We give an explicit formula for computing the solutions of such a problem. This is of interest for solving significant problems of financial economics as well as some classes of fe