[SciPy-user] Optimization fmin_tnc with equality constraint
Adrien Aulagnier
aaulagnier@gmail....
Mon Apr 20 07:04:58 CDT 2009
Hello
Sorry to disturb you. My question might be simple:
The function to minimize is simply f (w) = w' * Sigma * w
with w a vector and Sigma a square matrix
The constraints are :
0 <= w <= 1
sum(w) = 1
This last constraint is my problem.
Could you give me some clue ?
Thanks for your help
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