Optimization lagrangian problem

  • Thread starter Tilfani
  • Start date
  • #1
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Homework Statement



I would like to solve for Y an optimisation problem

Homework Equations


Max Y'C + Y'Br + αr0
Subject to : k=sqrt(Y'ΣY)
Y'e + α = 1
Where Y, C and B are columns vector of n lines.
Σ is symetric matrix of n order
e =(1,....1)' and α is a reel parameter.
I did calculus with lagrangian but i fear that i did some error.
So if someone can help to solve this fo Y and α.

The Attempt at a Solution

 

Answers and Replies

  • #2
gneill
Mentor
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Hi Tlfani,

Please show us what work you've done so far to attempt a solution (required for all homework help requests).
 

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