Finance Notes_Part_26

Finance Notes_Part_26 - Limitations of gps - a convex...

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Unformatted text preview: Limitations of gps - a convex problem Minimize f (x) = x1 + x2 on a disc ................... ....................... ........ ..... ....... ..... ..... .... ..... .... .... ... .... .. .. ... .. .. .. .. .. .. .. . .. .. .. .. .. . .. .. .. .. .. . .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . .. . .. .. .. . .. .. .. .. .. .. .. .. . .. .. .. .. .. .. ... .. ... .... ... .... .... ..... .... ..... ..... ....... .......... .............. ....................... ...... T c c u c E c Audet and Vicente (SIOPT 2008) Optimization under general constraints 71/109 Limitations of gps - a convex problem Minimize f (x) = x1 + x2 on a disc ................... ....................... ........ ..... ....... ..... ..... .... ..... .... .... ... .... .. .. ... .. .. .. .. .. .. .. . .. .. .. .. .. . .. .. .. .. .. . .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . .. . .. .. .. . .. .. .. .. .. .. .. .. . .. .. .. .. .. .. ... .. ... .... ... .... .... ..... .... ..... ..... ....... .......... .............. ....................... ...... T c c u c E c u Audet and Vicente (SIOPT 2008) Optimization under general constraints 71/109 Limitations of gps - a convex problem Minimize f (x) = x1 + x2 on a disc ................... ....................... ........ ..... ....... ..... ..... .... ..... .... .... ... .... .. .. ... .. .. .. .. .. .. .. . .. .. .. .. .. . .. .. .. .. .. . .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . .. . .. .. .. . .. .. .. .. .. .. .. .. . .. .. .. .. .. .. ... .. ... .... ... .... .... ..... .... ..... ..... ....... .......... .............. ....................... ...... T c c u c c c u c E c Audet and Vicente (SIOPT 2008) Optimization under general constraints 71/109 Limitations of gps - a convex problem Minimize f (x) = x1 + x2 on a disc ................... ....................... ........ ..... ....... ..... ..... .... ..... .... .... ... .... .. .. ... .. .. .. .. .. .. .. . .. .. .. .. .. . .. .. .. .. .. . .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . .. . .. .. .. . .. .. .. .. .. .. .. .. . .. .. .. .. .. .. ... .. ... .... ... .... .... ..... .... ..... ..... ....... .......... .............. ....................... ...... T c c u c c c u c E c u Audet and Vicente (SIOPT 2008) Optimization under general constraints 71/109 Limitations of gps - a convex problem Minimize f (x) = x1 + x2 on a disc ................... ....................... ........ ..... ....... ..... ..... .... ..... .... .... ... .... .. .. ... .. .. .. .. .. .. .. . .. .. .. .. .. . .. .. .. .. .. . .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . .. . .. .. .. . .. .. .. .. .. .. .. .. . .. .. .. .. .. .. ... .. ... .... ... .... .... ..... .... ..... ..... ....... .......... .............. ....................... ...... T c c u c c c u c c c u c E c Audet and Vicente (SIOPT 2008) Optimization under general constraints 71/109 ...
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This document was uploaded on 10/30/2011 for the course FIN 3403 at University of Florida.

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