Re: [R] opimization problem

From: Gottfried Gruber <gottfried.gruber_at_terminal.at>
Date: Tue 03 May 2005 - 03:06:21 EST

Hi Arne,

i'm sorry - the additional restriction is w' * V * w <= j
where j is a [1x1] matrix.
i don't know how to incorporate this restriction in the lp-object.

would be grateful on any response,
thanks,
gg

On Monday 02 May 2005 09:55, Arne Henningsen wrote:
> Hi Gottfried,
>
> w' * V * w is not a restriction, because there is no equal sign.
> Do you mean w' * V * w = 1?
>
> Arne
>
> On Sunday 01 May 2005 19:21, Gottfried Gruber wrote:
> > hi,
> >
> > 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?

> >
> > thanks,
> > gg

-- 
---------------------------------------------------
Gottfried Gruber
mailto:gottfried.gruber@terminal.at
www: http://gogo.sehrsupa.net

______________________________________________
R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
Received on Tue May 03 03:13:58 2005

This archive was generated by hypermail 2.1.8 : Fri 03 Mar 2006 - 03:31:32 EST