Hi Arne, i'm sorry - the additional restriction is w' * V * w <= j where j is a [1x1] matrix. i don't know how to incorporate this restriction in the lp-object.
would be grateful on any response, thanks, gg On Monday 02 May 2005 09:55, Arne Henningsen wrote: > Hi Gottfried, > > w' * V * w is not a restriction, because there is no equal sign. > Do you mean w' * V * w = 1? > > Arne > > On Sunday 01 May 2005 19:21, Gottfried Gruber wrote: > > hi, > > > > i want to execute the following opimization problem: > > max r*w > > s.t.: w*z=1 # sum of w is 1 > > r, w are [nx1] vectors, z is a [nx1] vector consisting of 1 > > so far so good, works fine with lp > > > > the problem arises with the additional restriction > > w' * V * w > > where V is a [nxn] matrix > > how can i include this restriction since w arises twice? > > > > thanks, > > gg -- --------------------------------------------------- Gottfried Gruber mailto:[EMAIL PROTECTED] www: http://gogo.sehrsupa.net ______________________________________________ [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
