Re: [R] Quadratic Programming

From: Berwin A Turlach <berwin_at_maths.uwa.edu.au>
Date: Sat, 16 Feb 2008 15:21:52 +0800

G'day Jorge,

On Fri, 15 Feb 2008 17:51:16 -0500
"Jorge Aseff" <jgaseff_at_gmail.com> wrote:

> 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,

Not possible. solve.QP is based on the Goldfarb-Idnani algorithm which first calculates the unconstrained solution of the problem and then checks for violated constraints; if such exist, then they are iteratively enforced until all constraints are satisfied.

If you want to specify starting values (or have warm starts), then you would need to use other kind of algorithms.

> and 2) to return the values of the lagrange multiplieres
> associated with the constraints.

See:
https://stat.ethz.ch/pipermail/r-devel/2007-December/047636.html

Hope this helps.

Best wishes,

        Berrwin

• Full address ============================= Berwin A Turlach Tel.: +65 6516 4416 (secr) Dept of Statistics and Applied Probability +65 6516 6650 (self) Faculty of Science FAX : +65 6872 3919 National University of Singapore 6 Science Drive 2, Blk S16, Level 7 e-mail: statba_at_nus.edu.sg Singapore 117546 http://www.stat.nus.edu.sg/~statba

  ---

R-help_at_r-project.org mailing list
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 Sat 16 Feb 2008 - 07:25:36 GMT