Package org.drip.sample.semidefinite

Semi-Definite Constrained Ellipsoid Variance
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    DualConstrainedEllipsoidVariance
    DualConstrainedEllipsoidVariance demonstrates the Application of the Interior Point Method for Minimizing the Variance Across The Specified Ellipsoid under both Normalization and first Moment Constraints.
    TwoVariateConstrainedVariance
    TwoVariateConstrainedVariance demonstrates the Application of the Interior Point Method for minimizing the Variance Across Two Variates under the Normalization Constraint.
    WeightConstrainedEllipsoidVariance
    WeightConstrainedEllipsoidVariance demonstrates the Application of the Interior Point Method for Minimizing the Variance Across The Specified Ellipsoid under the Normalization Constraint.