[R] quadratically constrained quadratic programming
Jianhui Zhou
zhou at uiuc.edu
Wed Oct 6 18:06:22 CEST 2004
Hi,
Does anybody have experience to solve an quadratic programming problem
with quadratic constraints in R?
It seems that the package "quadprog" only handles the quadratic
programming with linear constraint. My probelm is to maximze
x^T\Sigma_{xy} y,
subject to x^Tx=1, y^T\Sigma_{yy} y=1, and sum(y)<t, or sum(y)=t, where
x and y are the variable, and the Sigma's and t are know.
Can R slove this problem, or do you know any other Fortran or C
subroutine I can load into R to solve this problem?
Thanks in advance,
Jianhui
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