Mon, 7 Jan 2002 17:10:17 +0100
I have to solve the following minimization problem on x
Q(x) = 1/2 x' A x + x'b
where Q is a quadratic form and x is in the simplex (x_i>=0, sum_i x_i =
1, i=1,...,n), A pos. def. and b a negative vector.
I have tried with quadprog routines but it gives me solutions of the form
x* = (...,1,..)
where the dots "." are zeroes "0".
the toolbox optim/quadprog in Matlab lead to the same results as
R+quaprog package (they use the "same" qld algorithm).
Are there any more efficient methods based on lagrange multipliers +
standard simplex minimization ? I think that the qld algorithm is rather
general and then not efficient for my specific case.
Any idea or reference ?
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