From: Thomas Wood <twood_at_fortmasoncapital.com>

Date: Fri 21 Oct 2005 - 02:15:44 EST

.....and so on.

The syntax is not quite correct but you get the picture. Remember that quadprog distinguishes between equality and inequality constraints, and these must be inequality constraints. The trick to the upper bound is to multiply the constraint by -1 (as indicated), which effectively translates the constraint from a <= constraint into the >= type of constraint required by quadprog. Regards,

Tom

Alexis Diamond wrote:

Date: Fri 21 Oct 2005 - 02:15:44 EST

Alexis,

** WIKI:
**

You create the box constraints with two inequality constraints for
each element. Suppose that you have five elements, and your upper
bound is .33, and your lower bound is 0. Then quadprog would require
constraints as:

A[1,]=(1,0,0,0,0) b=(0) A[2,]=(-1,0,0,0,0) b=(-.33) A[3,]=(0,1,0,0,0) b=(0) A[4,]=(0,-1,0,0,0) b=(-.33)

.....and so on.

The syntax is not quite correct but you get the picture. Remember that quadprog distinguishes between equality and inequality constraints, and these must be inequality constraints. The trick to the upper bound is to multiply the constraint by -1 (as indicated), which effectively translates the constraint from a <= constraint into the >= type of constraint required by quadprog. Regards,

Tom

Alexis Diamond wrote:

I have a follow-up from Jens's question and Professor Ripley's response. Jens wants to do quadratic optimization with 2 constraints:

> > > # I need two constraints:

*> > > # 1. each element in par needs to be between 0 and 1
*

> > > # 2. sum(par)=1, i.e. the elements in par need to sum to 1

how does one set both constraints in quadprog, per Prof. Ripley's suggestion?

i know how to get quadprog to handle the second constraint, but not
BOTH, since quadprog only takes as inputs the constraint matrix "A"
and constraint vector "b"--

unlike in "ipop" (kernlab), there is no additional option for box constraints.

apologies if i am not seeing something obvious here.

thanks in advance,

alexis

--

Tom Wood

Fort Mason Capital

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San Francisco, CA 94104

Direct: 415-249-3387

Fax: 415-249-3389

[1]twood@fortmasoncapital.com

References

- mailto:twood@fortmasoncapital.com

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