Hi everyone
I try to use the solve.QP to solve the quadratic programming problem.
But the Dmat in the funciotn is non-positive definite.
Can anyone tell me which R function can deal with the quadratic
programming with non positive definite Dmat matrix ( in solve.QP)
I really appreaciated.
Dear all
I have a optimization problem as follows. And would appreaciated if
someone can give me the reply soon.
I aim to optimize the portfolio in considering the transaction cost.
Hence the objective function is:
Min: 1/2 w^T* omega*w-mu^T*w-c^T*(w-w0) when w[i]wo[i]
1/2
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