[R] ratio optimization with quadratic form
pwang at berkeley.edu
Sun Jan 28 06:50:20 CET 2007
I have a function
f(y) = (x'Ax + 2yx'a_i+y^2*a_ii)/(x'Bx + 2yx'b_i+y^2*b_ii),
where A and B are known square matrix, a_i are the ith row of matrix A,
a_ii are the ith row/column element of matrix A.
what can I do to find a y to minize/maximize the ratio?
Do optimize function? can I do a matrix decomposition, a more elegant
More information about the R-help