Forums > Risk Management > Can I get some advice about optimizing this algorithm?

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Display using: vx2008 Total Posts: 11 Joined: Jan 2016
 Posted: 2017-02-17 13:04 Know values: matrix(n x m)—— X,F and Delta; vector—-u;wanted value: vector—— w;restrictive condition：picNow shall I set vector — ‘w’ to get the biggest value of R/P?  Tradenator Total Posts: 1596 Joined: Sep 2006
 Posted: 2017-02-17 13:17 Is R correctly specified? You are trying to add a vector to a matrix multiplication?  vx2008 Total Posts: 11 Joined: Jan 2016
 Posted: 2017-02-18 02:01 thanks for your reply;Yes, I want to get a vector 'w' to make 'R/P' biggest.  ebal Total Posts: 18 Joined: Jul 2009
 Posted: 2017-02-21 14:59 Seems like you simply have R = b w and P = sqrt(w^T C w). Their ratio is invariant to re-scaling of w, so you can always choose w so that P = 1. Then you have to maximize R with fixed P which is Lagrange optimization problem: b w + l (w^T C w - 1), where l is Lagrange multiplier (note P^2 to get rid of square root). This is straightforward. Page 1 of 1