[R] Urgent

2008-07-22 Thread Yunlei.Hu
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.

[R] A question on the quandratic programming

2008-07-21 Thread Yunlei.Hu
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