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


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