vx2008


Total Posts: 8 
Joined: Jan 2016 


Know values: matrix(n x m)—— X,F and Delta; vector—u;
wanted value: vector—— w;
restrictive condition： pic
Now shall I set vector — ‘w’ to get the biggest value of R/P? 




Is R correctly specified? You are trying to add a vector to a matrix multiplication? 


vx2008


Total Posts: 8 
Joined: Jan 2016 


thanks for your reply; Yes, I want to get a vector 'w' to make 'R/P' biggest. 



ebal


Total Posts: 16 
Joined: Jul 2009 


Seems like you simply have R = b w and P = sqrt(w^T C w). Their ratio is invariant to rescaling of w, so you can always choose w so that P = 1. Then you have to maximize R with fixed P which is Lagrange optimization problem: b w + l (w^T C w  1), where l is Lagrange multiplier (note P^2 to get rid of square root). This is straightforward. 

