How to solve this convex optimization?

Question

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

Problem definition:

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

What is the objective function? I only see constraints. – Ami Tavory Jun 05 '15 at 20:37 — Ami Tavory, Jun 05 '15 at 20:37
Objective is II b - Aw II norm 2 – Hello lad Jun 05 '15 at 20:40 — Hello lad, Jun 05 '15 at 20:40

score 0 · Accepted Answer · answered Jun 05 '15 at 21:23

0

This is a problem in Quadratic Programming.

answered Jun 05 '15 at 21:23

Ami Tavory

1 Answers1