Re: [R] SQP with Constraints

From: Ravi Varadhan <rvaradhan_at_jhmi.edu>
Date: Mon, 09 May 2011 23:00:03 -0400

Look at the solve.QP() function in the "quadprog" package.

Ravi.



From: r-help-bounces_at_r-project.org [r-help-bounces_at_r-project.org] On Behalf Of vioravis [vioravis_at_gmail.com] Sent: Monday, May 09, 2011 10:46 PM
To: r-help_at_r-project.org
Subject: [R] SQP with Constraints

I am trying to optimize function similar to the following:

Minimize x1^2 - x2^2 - x3^2

st x1 < x2

    x2 < x3

The constraint is that the variables should be monotonically increasing. Is there any package that implements Sequential Quadratic Programming with ability include these constraints???

Thanks you.

Ravi

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Received on Tue 10 May 2011 - 03:02:59 GMT

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