Package 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. 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
    WeightConstrainedEllipsoidVariance()  

  • 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

    • WeightConstrainedEllipsoidVariance

      public WeightConstrainedEllipsoidVariance()

  • 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