constrOptim() can do linear and quadratic programming problems! See the
following example from the help document.
## Solves linear and quadratic programming problems
## but needs a feasible starting value
#
# from example(solve.QP) in 'quadprog'
# no derivative
fQP <- function(b) {-sum(c(0,5,0)*b)+0.5*sum(b*b)}
Amat <- matrix(c(-4,-3,0,2,1,0,0,-2,1),3,3)
bvec <- c(-8,2,0)
constrOptim(c(2,-1,-1), fQP, NULL, ui=t(Amat),ci=bvec)
# derivative
gQP <- function(b) {-c(0,5,0)+b}
constrOptim(c(2,-1,-1), fQP, gQP, ui=t(Amat), ci=bvec)
## Now with maximisation instead of minimisation
hQP <- function(b) {sum(c(0,5,0)*b)-0.5*sum(b*b)}
constrOptim(c(2,-1,-1), hQP, NULL, ui=t(Amat), ci=bvec,
control=list(fnscale=-1))
--
View this message in context:
http://r.789695.n4.nabble.com/constrained-optimization-which-package-tp2717677p2718136.html
Sent from the R help mailing list archive at Nabble.com.
______________________________________________
[email protected] mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
