[SciPy-user] Optimization fmin_tnc with equality constraint

Adrien Aulagnier aaulagnier@gmail....
Mon Apr 20 09:53:13 CDT 2009


2009/4/20 Dave Hirschfeld <dave.hirschfeld@gmail.com>

> Adrien Aulagnier <aaulagnier <at> gmail.com> writes:
>
> >
> > HelloSorry to disturb you. My question might be simple:The function to
> minimize is simply f (w) = w' *  Sigma * wwith w a vector and Sigma a
> square
> matrixThe constraints are : 0 <= w <= 1
> >  sum(w) = 1This last constraint is my problem.Could you give me some clue
> ?Thanks for your help
> >
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>
> This discussion may help:
>
> http://thread.gmane.org/gmane.comp.python.scientific.user/16180/focus=16187
>
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Thank you for the help but my description was not complet:

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
R' * w = a constant

and R a vector of the same size as w

Sorry for the missing information.

I think that the Aitchison transformation won't work in this case...

Do you have an idea to solve this system ?

Thanks for your help
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