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Jim
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Extremal Covariance Duality

Given real vectors v and r of the same size, what are the following, and how are they duals?

  1. inf{v'*inv(R)*v : R>0, diag(R)= r}
  2. sup{v'Rv : R>0, diag(R)= r}

Note: R > 0 denotes positive definiteness, x' denotes transpose, and inf, and sup are the infimum and supremum.

Jim
  • 81
  • 6