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scipyconvex-optimizationconvexquadratic-programming

How to solve this convex optimization?

It is simple, I know but I have little understanding of convex optimization yet

Problem definition:

  1. Objective function is II b - Aw II norm 2
  2. a vector of unknown [w1, w2, ..., wn]

  3. a data matrix A (m x n), each row has n components([ai1, ai2, ..., ain]), m is the number of measures. ai1, ai2, ..., ain are themselves highly correlated to each other

  4. constraints wi >= 0 and sum of wi is 1, basically wi can be interpreted as weights

which python or matlab package could I use, maybe ?

Solution

  • This is a problem in Quadratic Programming.