Dear All I have a constrained optimisation problem, I want to maximise the following function
t(weights) %*% CovarianceMatrix %*% weights for the weights, subject to constraints on each element within the weights & the weights vector summing to 1. i.e. weights = (x1, x2, x3), where x1 is within some given range (a +b, a - b). I have tried to do this using the optim function in R, setting the minimum & maximum tolerances as lower and upper bounds but once I set the constraint of the weights summing to 1 in the function, it creates an error. I have also looked at the constrOptim & solveQP packages and have similar problems with constraint settings. Thanks in advance. -- View this message in context: http://r.789695.n4.nabble.com/Constrained-Optimisation-tp4215341p4215341.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
