[R] opimization problem

From: Gottfried Gruber <gottfried.gruber_at_terminal.at>
Date: Mon 02 May 2005 - 03:21:44 EST


i want to execute the following opimization problem: max r*w
s.t.: w*z=1 # sum of w is 1
r, w are [nx1] vectors, z is a [nx1] vector consisting of 1 so far so good, works fine with lp

the problem arises with the additional restriction w' * V * w
where V is a [nxn] matrix
how can i include this restriction since w arises twice?


Gottfried Gruber
www: http://gogo.sehrsupa.net

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Received on Mon May 02 03:25:09 2005

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