Package | Description |
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tech.nmfin.meanreversion.daspremont2008 |
Modifier and Type | Class and Description |
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class |
ExtremalGeneralizedEigenvalueByGreedySearch
Solves
\[ \min_x \frac{x'Ax}{x'Bx} \\ \textup{s.t.,} \mathbf{Card}(x)
\leqslant k, \left \| x \right \| = 1 \]
|
class |
ExtremalGeneralizedEigenvalueBySDP
Solves the problem described in Section 3.2, d'Aspremont (2008).
|
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