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.
ifsm.cf(Q, b, d, l2, s, mu=1e-4)A list
the vector of the coefficients to be plugged into the IFSM
the collage distance at the solution
the matrix \(Q\) of \(x'Qx + b'x\)
the vector \(b\) of \(x'Qx + b'x\)
the L1 norm of the target function
the L2 norm of the target function
the vector \(s\) in: \(w_i = s_i *x + a_i\)
tolerance
Iacus, S.M, La Torre, D. (2005) IFSM representation of Brownian motion with applications to simulation, forthcoming.
IFSM