Multivariate Newton method: portfolio optimization

10 次查看（过去 30 天）

显示更早的评论

Hannah Shadel Plant 2020-12-11

0
链接

此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/691045-multivariate-newton-method-portfolio-optimization

评论： Alan Weiss 2020-12-13

Hi,

I am trying to solve the following equation using newton's method with

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.

Any guidance would be so appreciated

3 个评论
显示 1更早的评论隐藏 1更早的评论

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

Alan Weiss 2020-12-13

I'm sorry, I still do not understand your problem. What do you mean "minimize the x values?" Take

? 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

请先登录，再进行评论。

请先登录，再回答此问题。