org.drip.sample.semidefinite

Class DualConstrainedEllipsoidVariance

java.lang.Object

org.drip.sample.semidefinite.DualConstrainedEllipsoidVariance

public class DualConstrainedEllipsoidVariance
extends java.lang.Object

DualConstrainedEllipsoidVariance demonstrates the Application of the Interior Point Method for Minimizing the Variance Across The Specified Ellipsoid under both Normalization and first Moment Constraints.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
DualConstrainedEllipsoidVariance()

Method Summary

Modifier and Type	Method and Description
static void	main(java.lang.String[] astrArgs)

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

DualConstrainedEllipsoidVariance

public DualConstrainedEllipsoidVariance()

Method Detail

main

public static final void main(java.lang.String[] astrArgs)
                       throws java.lang.Exception

Throws:

java.lang.Exception