[R] Optimization: non-liner constraints

From: livia <yn19832_at_msn.com>
Date: Tue, 15 Jan 2008 06:46:49 -0800 (PST)

Hello everyone,

I would like to optimize the function "fqp" as following:

a=c(0.2,0.3,0.4)
vcov=matrix(c(1,2,3,3,2,2,2,3,1),3,3)
c=2
fqp <- function(b) {t(b)%*%a-0.5*c*((t(b)%*%vcov)%*%b)}

with constraints like ((t(b)%*%vcov)%*%b) <= 0.5

Is there a function of doing it? Many thanks.

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