Package 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. The References are:

  • Armijo, L. (1966): Minimization of Functions having Lipschitz-Continuous First Partial Derivatives Pacific Journal of Mathematics 16 (1) 1-3
  • Nocedal, J., and S. Wright (1999): Numerical Optimization Wiley
  • Wolfe, P. (1969): Convergence Conditions for Ascent Methods SIAM Review 11 (2) 226-235
  • Wolfe, P. (1971): Convergence Conditions for Ascent Methods; II: Some Corrections SIAM Review 13 (2) 185-188


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    DualConstrainedEllipsoidVariance()  

  • Method Summary

    Modifier and Type Method Description
    static void main​(java.lang.String[] argumentArray)
    Entry Point

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • DualConstrainedEllipsoidVariance

      public DualConstrainedEllipsoidVariance()

  • Method Details

    • main

      public static final void main​(java.lang.String[] argumentArray) throws java.lang.Exception
      Entry Point
      Parameters:
      argumentArray - Command Line Argument Array
      Throws:
      java.lang.Exception - Thrown on Error/Exception Situation