[R] minimization a quadratic form with some coef fixed and some constrained

From: Yingfu Xie <Yingfu.Xie_at_sekon.slu.se>
Date: Thu 10 Aug 2006 - 01:33:54 EST


Hello, all,

I had problems with an extension to a classic optimization problem.

The target is to minimize a quadratic form a'Ma with respect to vector b, where vector a=(b',-1)', i.e., a is the expand of b, and M is a symmetric matrix (positive definite if needed). One more constrain on b is b'b=1. I want to solve b given M.

I tried but it seems impossible to find an analytic solution for b. Any objection?

Now, come to the numerical. Does anybody have any idea on how to parameterize this to use, e.g. optim() or constrOptim()?

Any help are appreciated very much!

Regards,
Yingfu

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