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May 3rd, 2013, 03:52 AM   #1
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Minimizing a matrix product

Hi all,

I am chewing on this problem: I have a vector s with 5 entries (s1 through s5) an a matrix A. The entries of s should be >= 0 and add to 1 (so not all be 0) and the matrix A is non-singular (it is, in fact, a correlation matrix, so square, with 1 on the diagonal and <= 1 off-diagonal, and symmetric). I am looking for the way to minimize the product s'As (or the square root of it, which is the same) but with the boundary conditions described above.

Does anybody have a good idea how to solve this, or maybe a software package that is up to it?

Best
Thijs.
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May 15th, 2013, 02:17 AM   #2
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Re: Minimizing a matrix product

Ok, so apparently it either a silly question because it is very easy, or a hard question, but I did not receive any replies. Actually, I figured out how to use the MS excel solver to solve it by stating that the sum of the components needs to be 1 and the different components need to be positive, and then minimizing. This worked well.
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