Multivariate Newton method: portfolio optimization
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Hi,
I am trying to solve the following equation using newton's method with 
getting infinitely large:
getting infinitely large:
I am not super sure how to start this, I am not great with MATLAB but it is the only language I have exerience with. I am trying to minimize the x values so they converge as 
goes to infinity.
goes to infinity.Any guidance would be so appreciated
3 个评论
Alan Weiss
2020-12-13
Sorry, I do not understand your question. You give a function 
but do not say what equation you are trying to solve. 
? Minimize 
? What is the problem?
but do not say what equation you are trying to solve. ? Minimize ? What is the problem?Alan Weiss
MATLAB mathematical toolbox documentation
Hannah Shadel Plant
2020-12-13
编辑：Hannah Shadel Plant
2020-12-13
Ok I am sorry, I am trying to minimize each of the x variables, they are the variances for the function. I want to start with 
= 1 and multiply by factors of 10 until 10,000 then show as infinity
= 1 and multiply by factors of 10 until 10,000 then show as infinity
Alan Weiss
2020-12-13
I'm sorry, I still do not understand your problem. What do you mean "minimize the x values?" Take 
or 
? No, you want to take μ to inifinity, and μ is multiplying a sum of squares, so each of those terms in the sum has to be zero, But what your real problem is I still don't understand.
or ? No, you want to take μ to inifinity, and μ is multiplying a sum of squares, so each of those terms in the sum has to be zero, But what your real problem is I still don't understand.Alan Weiss
MATLAB mathematical toolbox documentation
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