May 19th, 2015, 03:07 PM  #1 
Newbie Joined: May 2015 From: England Posts: 1 Thanks: 0  Derivative vector of a function
Hi guys! I would like to maximize the following function with respect to $\displaystyle w_t$ (which is a 1x4 vector of weights). $e(w_t) = m_{1pt+1}(w_t)  1/2 * m_{2pt+1}(w_t) + 1/6 * m_{3pt+1}(w_t)$ s.t $m_{1pt+1}(w_t)=w'_t\mu_i$ $m_{2pt+1}(w_t)=w_tM_{2,t+1}w'_t$ $m_{3pt+1}(w_t)=w'_tM_{3,t+1}(w_t \otimes w_t)$ where $\mu$ is a 1x4 vector of means, and $M_2$ and $M_3$ are 4x4 and 4x16 moment matrices respectively. In order to maximize the function I need a derivative vector (I'm going to program it in a statistical software). Could you please tell me what will be the dimensions of the derivative vector and tell me how to calculate it? The main difficulty is that the derivative is supposed to be with respect to $w_{it}$, where i ={1,2,3,4). Any help would be greatly appreciated. 

Tags 
derivative, function, matrix, maximization, vector 
Thread Tools  
Display Modes  

Similar Threads  
Thread  Thread Starter  Forum  Replies  Last Post 
relationship between derivative of function and derivative of inverse  daltyboy11  Calculus  2  July 10th, 2014 07:57 PM 
derivative of unit vector  Jhenrique  Linear Algebra  1  January 31st, 2014 01:43 PM 
Derivative of a function to the power of another function  Vasily  Calculus  6  July 22nd, 2012 12:31 PM 
Vector Function  aaronmath  Calculus  2  February 14th, 2012 10:01 PM 
Directional Derivative/Gradient Vector  Left of Zen  Calculus  4  June 10th, 2010 10:19 PM 