tech.nmfin.meanreversion.daspremont2008

Interface ExtremalGeneralizedEigenvalueSolver

All Known Implementing Classes:

ExtremalGeneralizedEigenvalueByGreedySearch, ExtremalGeneralizedEigenvalueBySDP

public interface ExtremalGeneralizedEigenvalueSolver

Method Summary

Modifier and Type	Method and Description
Vector	computeOptimalPositions(int card) Computes the solution to the problem described in Section 3.2 in reference.

Method Detail

computeOptimalPositions

Vector computeOptimalPositions(int card)

Computes the solution to the problem described in Section 3.2 in reference.

Parameters:

card - the cardinality constraint, the number of non-zero elements in x, the solution

Returns:

vector x in eq. 10 in reference

See Also:

"A. d'Aspremont, "Sections 3.1, 3.2," Identifying Small Mean Reverting Portfolios, 2008."