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Iosif Pinelis
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Extremal Covariance Duality

Given real vectors $v$ and $r$ of the same size, what are the following?

  1. $\inf\{v'R^{-1}v \colon R>0, \text{diag}(R)= r\}$
  2. $\sup\{v'Rv \colon R>0, \text{diag}(R)= r\}$

Note: $R > 0$ denotes positive definiteness, $x'$ denotes transpose, $\text{diag}(R)$ is the vector of the diagonal entries of matrix $R$.

Jim
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