March 2010
Intermediate to advanced
238 pages
5h 59m
English
Content preview from Portfolio Optimization
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Chapter 5
Quadratic Programming
Geometry
This chapter develops the essential ideas of quadratic progra mming
(QP). Section 5.1 shows how to solve a 2-dimensional QP by geometri-
cal reasoning. In Section 5.2, optimality conditions are formulated for
a QP, again using geometrical reasoning. In Section 5.3, it is shown
how to draw elliptic level sets for a quadratic function. In Section 5.4,
optimality conditions for a QP having n variables and m inequality
constraints, are formulated and proven to be sufficient for optimality.
5.1 The Geometry of QPs
The purpose of this section is to introduce t he most important prop-
erties o f quadratic progra mming by means of geometrical examples.
We first show how to determine a n optimal solution geometrically. A
ma ...
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.