Re: [R] Quadratic Programming

From: <markleeds_at_verizon.net>
Date: Fri, 15 Feb 2008 17:09:19 -0600 (CST)


>From: Jorge Aseff <jgaseff_at_gmail.com>
>Date: 2008/02/15 Fri PM 04:51:16 CST
>To: r-help_at_r-project.org
>Subject: [R] Quadratic Programming

Adrian Trapletti has a function in his tseries package ( the name of the function escapes me ) that uses the solve.QP solver to model some kind of quadratic portfolio problem. I don't remember if it does exactly what you want but take a look at tseries because it's in there and it may be of help to you.

                             Mark

>Hi,
>
>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?
>
>Thanks.
>
>Jorge
>
> [[alternative HTML version deleted]]
>
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https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Fri 15 Feb 2008 - 23:13:07 GMT

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