Uses of Interface
tech.nmfin.meanreversion.daspremont2008.ExtremalGeneralizedEigenvalueSolver
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Packages that use ExtremalGeneralizedEigenvalueSolver Package Description tech.nmfin.meanreversion.daspremont2008 -
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Uses of ExtremalGeneralizedEigenvalueSolver in tech.nmfin.meanreversion.daspremont2008
Classes in tech.nmfin.meanreversion.daspremont2008 that implement ExtremalGeneralizedEigenvalueSolver Modifier and Type Class Description 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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