RE: [R] quadratic problem with quadratic constraint

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From: David Khabie-Zeitoune (dave@evocapital.com)
Date: Thu 20 May 2004 - 20:52:12 EST


Message-id: <8D0F30FE2EB3314182D4A33F738BB19D17977C@sqlsrvr.evocapital.com>

Sure -- just use a Lagrangian multiplier to bring the constraint into the objective function and then use a QP routine like quadprog (in the quadprog library). You will need to run an *outer* optimisation to find the value of the Langrangian multiplier.

-----Original Message-----
From: Ramzi TEMANNI [mailto:ramzi.temanni@laposte.net]
Sent: 14 May 2004 11:27
To: r-help@stat.math.ethz.ch
Subject: [R] quadratic problem with quadratic constraint

Hi all,
Can we solve Quadratic Program with Quadratic Constraint in R ?

Regards,

TEMANNI Ramzi
DEA Student
Lim&Bio
http://www.limbio-paris13.org
UFR de Santé, Médecine et Biologie Humaine (SMBH)
Léonard de Vinci 74, rue Marcel Cachin
93017 Bobigny Cedex
France.
Tél : 01.48.38.73.07
Tél : 06.21.43.27.59
temanni.ramzi@free.fr
http://temanni.ramzi.free.fr

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