opimization problem
hi, i want to execute the following opimization problem: max r*w s.t.: w*z=1 # sum of w is 1 r, w are [nx1] vectors, z is a [nx1] vector consisting of 1 so far so good, works fine with lp the problem arises with the additional restriction w' * V * w where V is a [nxn] matrix how can i include this restriction since w arises twice? thanks, gg
--------------------------------------------------- Gottfried Gruber mailto:gottfried.gruber at terminal.at www: http://gogo.sehrsupa.net