ifsm.cf {ifs}

Calculates the main parameters of the IFSM operator

Description

Tool function to construct and find the solution of the minimization problem involving the quadratic form x'Qx + b'x. Not an optimal one. You can provide one better then this.

Usage

ifsm.cf(Q, b, d, l2, s, mu=1e-4)

Arguments

Q

the matrix Q of x'Qx + b'x

b

the vector b of x'Qx + b'x

d

the L1 norm of the target function

l2

the L2 norm of the target function

s

the vector s in: w_i = s_i *x + a_i

mu

tolerance

Value

A list

cf

the vector of the coefficients to be plugged into the IFSM

delta

the collage distance at the solution

References

Iacus, S.M, La Torre, D. (2005) IFSM representation of Brownian motion with applications to simulation, forthcoming.

See Also

IFSM