Minimization of the root of a quadratic functional under an affine equality constraint

Authors:
Zinoviy Landsman
Affiliations:
Department of Statistics, University of Haifa, Mount Carmel, 31905 Haifa, Israel
Venue:
Journal of Computational and Applied Mathematics
Year:
2008

Citing 1
Cited 2

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An improved closed-form solution for the constrained minimization of the root of a quadratic functional

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Abstract

We present a way of solving the problem of minimizing the root of quadratic functional subject to an affine constraint. We give an explicit formula for computing the solutions of such a problem. This is of interest for solving significant problems of financial economics as well as some classes of feasibility and optimization problems which frequently occur in tomography and other fields.