Hi all,
I am trying to minimize the quardratic form w'Aw, with certain
constraints.
In particular,
(1) A=(a_{ij}) is n by n matrix and it is symmetric positive definite,
a_{ii}=1 for all i;
and 0<a_{ij}<1 for i not equal j.
(2) w'1=n;
(3) w_{i}>=0
Analytically, for n=2, it is easy to come up with a result. For larger n, it
seems
difficult to obtain the result.
Does any one know whether it is possible to use R to numerically compute it?
Thank you so much in advance!
Hannah
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