Hi, I am currently using solve.QP from the quadprog package to solve some quadratic optimization problems of the form:
min[ -d'b + (1/2) b'Db ] under constraints A'b >= b_0 solve.QP appears to use an implementation of the Goldfarb and Idnani algorithm. I now have a problem of this form where the matrix D is positive semi-definite which breaks solve.QP. It looks like there is a modified Goldfarb and Idnani algorithm that handles the semi-definite case (see: http://www.springerlink.com/content/h8154g18w87x47g0/). Is there a quadratic solver in R that handles this case? Or, is there another approach to this problem someone can suggest? Thanks, Kyle [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org 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.
