try the lsei function from the limSolve package. On Mon, Dec 19, 2011 at 2:32 PM, Russell2 <bhargavaos...@hotmail.co.uk> wrote: > 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.
______________________________________________ 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.
