[SciPy-user] Optimization fmin_tnc with equality constraint

Adrien Aulagnier aaulagnier@gmail....
Mon Apr 20 07:04:58 CDT 2009


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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