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DROP Function Rd To R1 Package

DROP Function Rd To R1 Package contains the Suite of Built-in Rd To R1 Functions.

Class Components

  • AffineBoundMultivariate AffineBoundMultivariate implements a Bounded Planar Linear Rd To R1 Function.

  • AffineMultivariate AffineMultivariate implements a Planar Linear Rd To R1 Function using a Multivariate Vector.

  • BoundMultivariate BoundMultivariate Interface implements Rd To R1 Bounds.

  • ConvexMultivariate ConvexMultivariate is a Shell Interface that "typifies" a Convex Rd To R1.

  • CovarianceEllipsoidMultivariate CovarianceEllipsoidMultivariate implements a Rd To R1 Co-variance Estimate of the specified Distribution.

  • LagrangianMultivariate LagrangianMultivariate implements a Rd To R1 Multivariate Function along with the specified Set of Equality Constraints.

  • ObjectiveConstraintVariateSet ObjectiveConstraintVariateSet holds a Rd To R1 Variates corresponding to the Objective Function and the Constraint Function respectively.

  • RiskObjectiveUtilityMultivariate RiskObjectiveUtilityMultivariate implements the Risk Objective Rd To R1 Multivariate Function used in Portfolio Allocation. It accommodates both the Risk Tolerance and Risk Aversion Variants.

References

  • Boyd, S., and L. van den Berghe (2009): Convex Optimization Cambridge University Press Cambridge UK

  • Eustaquio, R., E. Karas, and A. Ribeiro (2008): Constraint Qualification for Nonlinear Programming Federal University of Parana

  • Karush, A. (1939): Minima of Functions of Several Variables with Inequalities as Side Constraints University of Chicago Chicago IL

  • Kuhn, H. W., and A. W. Tucker (1951): Nonlinear Programming Proceedings of the Second Berkeley Symposium University of California Berkeley CA 481-492

  • Ruszczynski, A. (2006): Nonlinear Optimization Princeton University Press Princeton NJ

DROP Specifications