org.drip.sample.semidefinite

Class WeightConstrainedEllipsoidVariance

java.lang.Object

org.drip.sample.semidefinite.WeightConstrainedEllipsoidVariance

public class WeightConstrainedEllipsoidVariance
extends java.lang.Object

WeightConstrainedEllipsoidVariance demonstrates the Application of the Interior Point Method for Minimizing the Variance Across The Specified Ellipsoid under the Normalization Constraint.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
WeightConstrainedEllipsoidVariance()

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

WeightConstrainedEllipsoidVariance

public WeightConstrainedEllipsoidVariance()

Method Detail

main

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

Throws:

java.lang.Exception