On Tue, Sep 28, 2010 at 9:47 PM, Leonardo Monasterio <[email protected]> wrote: > In the function bellow I want to find the maximum value of v, > subject to the constrain that the sum of x is equal to 1. > I want to maximize: > v<-t(x)%*%distance%*%x > > Subject to: > sum(x)=1 > > Where: > "x" is a vector n X 1 > "distance" is a matrix n*n and it is given. > (In practice, the number of n can go up to hundreds.) > > I have a bit of experience using R but not much on optimization > techniques or on R optimization packages. I have taken a look at > optim and nlminb, but I am quite confused. > Do you have any suggestion on how to do it?
Your optimization problem corresponds to a quadratic programming problem. So, you can use, e.g., the package quadprog. Hope this helps you, Paul ______________________________________________ [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.
