This letter studies the collaborative use of amplify-and-forward (AF) relays to form a virtual multiple-input single-output (MISO) beamforming system with the aid of perfect channel state information (CSI) in a flat-fading channel. In particular, we optimize the relay weights jointly to maximize the received signal-to-noise ratio (SNR) at the destination terminal with both individual and total power constraints at the relays. We show that the optimal collaborative-relay beamforming (CRB) solution achieves the full diversity of a MISO antenna system. Another main contribution of this letter is a distributed algorithm that allows each individual relay to learn its own weight, based on the Karush-Kuhn-Tucker (KKT) analysis.