[R] Quadratic Programming

From: Jorge Aseff <jgaseff_at_gmail.com>
Date: Fri, 15 Feb 2008 17:51:16 -0500


I am using solve.QP (from quadprog) to solve a standard quadratic programming problem: min_w -0.5*w'Qw st ... I would like solve.QP to do two things: 1) to start the optimization from a user-supplied initial condition; i.e., from a vector w_0 that satisfies the constraints, and 2) to return the values of the lagrange multiplieres associated with the constraints. I did not find an obvious way in help(solve.QP). Any thoughts?



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