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by deskquant
October 24th, 2010, 9:05 pm
Forum: Student Forum
Topic: optimization problem-need help.
Replies: 11
Views: 22919

optimization problem-need help.

Also the problem is unconstrained in 'a'. I guess I am really wondering if we can straight away differentiate w.r.t 'a', set the derivative to 0 and solve for 'a'?
by deskquant
October 24th, 2010, 5:55 pm
Forum: Student Forum
Topic: optimization problem-need help.
Replies: 11
Views: 22919

optimization problem-need help.

<t>Thanks for the note Alan and apologies for being unclear, may be this will help. The following is the problem At each time point 't' x, y, b, m are actually vectors with the following dimensions. The actual sum runs from time 0 to N. So this means that we have N*n total observations for each of t...
by deskquant
October 24th, 2010, 12:28 pm
Forum: Student Forum
Topic: optimization problem-need help.
Replies: 11
Views: 22919

optimization problem-need help.

<t>I am trying to solve the following problem for some parameter vector 'a'sum(xt - yt)M(xt - yt) wheret = timesum = summation over some time' = transposeM = a non positive semi definite matrixxt = time seriesyt = time series with some parameters that need to be optimizedThis is a standard convex qu...
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