Re: [R] Optimization under an absolute value constraint

2007-09-07 Thread roger koenker
this should be possible in the lasso2 package. url:www.econ.uiuc.edu/~rogerRoger Koenker email[EMAIL PROTECTED]Department of Economics vox: 217-333-4558University of Illinois fax: 217-244-6678Champaign, IL 61820 On Sep

Re: [R] Optimization under an absolute value constraint

2007-09-07 Thread Paul Smith
On 9/7/07, Phil Xiang [EMAIL PROTECTED] wrote: I need to optimize a multivariate function f(w, x, y, z, ...) under an absolute value constraint. For instance: min { (2x+y) (w-z) } under the constraint: |w| + |x| + |y| + |z| = 1.0 . Is there any R function that does this? Thank