Message-ID: <200505011921.44723.gottfried.gruber@terminal.at>
Date: 2005-05-01T17:21:44Z
From: Gottfried Gruber
Subject: 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
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Gottfried Gruber
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www: http://gogo.sehrsupa.net