My Math Forum Minimizing a matrix product

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 May 3rd, 2013, 02:52 AM #1 Newbie   Joined: May 2013 Posts: 2 Thanks: 0 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.
 May 15th, 2013, 01:17 AM #2 Newbie   Joined: May 2013 Posts: 2 Thanks: 0 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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