Re: [R] Solving a quadratically constrained linear program with inital values
> Bert Gunter
> on Mon, 17 May 2021 17:27:27 -0700 writes:
> Have you looked here:
> https://cran.r-project.org/web/views/Optimization.html
yes, he has .. and I've suggested to him to ask here ...
> (Warning: I have no idea whether your query even makes
> mathematical sense.)
Indeed, it *does* make sense; at least for the case of positive
(semi-)definite \Sigma which we may well assume for the moment.
Martin Maechler
> Bert Gunter
> "The trouble with having an open mind is that people keep coming along and
> sticking things into it."
> -- Opus (aka Berkeley Breathed in his "Bloom County" comic strip )
> On Mon, May 17, 2021 at 12:56 PM Pascal Kündig
> wrote:
>> Hi everyone,
>> I'm looking for an R-function that solves a quadratically constrained
>> linear program of the form:
>>
>> min(x) -\mu' x
>> subject to
>> x' \Sigma x <= s
>> 1'x <= 1
>> -1'x <= -1
>> Ix <= u
>> -Ix <= -b
>>
>> while considering a given starting value for the vector x.
>> The above problem results from a larger program of the same structure
>> and by setting the constraint that some elements of the solution vector
>> \tilde{x} of this larger program have to be 0 if they lie below a
>> certain threshold. The starting value for the vector x is therefore a
>> subvector of \tilde{x}. \Sigma is symmetric but not necessarily positive
>> definite.
>>
>> __
>> R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see
>> 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.
>>
> [[alternative HTML version deleted]]
> __
> R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see
> 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.
__
R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see
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.
Re: [R] Solving a quadratically constrained linear program with inital values
Have you looked here: https://cran.r-project.org/web/views/Optimization.html
(Warning: I have no idea whether your query even makes mathematical sense.)
Bert Gunter
"The trouble with having an open mind is that people keep coming along and
sticking things into it."
-- Opus (aka Berkeley Breathed in his "Bloom County" comic strip )
On Mon, May 17, 2021 at 12:56 PM Pascal Kündig
wrote:
> Hi everyone,
> I'm looking for an R-function that solves a quadratically constrained
> linear program of the form:
>
> min(x) -\mu' x
> subject to
> x' \Sigma x <= s
> 1'x <= 1
> -1'x <= -1
> Ix <= u
> -Ix <= -b
>
> while considering a given starting value for the vector x.
> The above problem results from a larger program of the same structure
> and by setting the constraint that some elements of the solution vector
> \tilde{x} of this larger program have to be 0 if they lie below a
> certain threshold. The starting value for the vector x is therefore a
> subvector of \tilde{x}. \Sigma is symmetric but not necessarily positive
> definite.
>
> __
> R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see
> 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.
>
[[alternative HTML version deleted]]
__
R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see
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.
[R] Solving a quadratically constrained linear program with inital values
Hi everyone,
I'm looking for an R-function that solves a quadratically constrained
linear program of the form:
min(x) -\mu' x
subject to
x' \Sigma x <= s
1'x <= 1
-1'x <= -1
Ix <= u
-Ix <= -b
while considering a given starting value for the vector x.
The above problem results from a larger program of the same structure
and by setting the constraint that some elements of the solution vector
\tilde{x} of this larger program have to be 0 if they lie below a
certain threshold. The starting value for the vector x is therefore a
subvector of \tilde{x}. \Sigma is symmetric but not necessarily positive
definite.
__
R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see
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.
