[R] opimization problem

Gottfried Gruber gottfried.gruber at terminal.at
Sun May 1 19:21:44 CEST 2005


i want to execute the following opimization problem:
max r*w
s.t.:   w*z=1	# sum of w is 1
r, w are [nx1] vectors, z is a [nx1] vector consisting of 1
so far so good, works fine with lp

the problem arises with the additional restriction
w' * V * w
where V is a [nxn] matrix
how can i include this restriction since w arises twice?


Gottfried Gruber
mailto:gottfried.gruber at terminal.at
www: http://gogo.sehrsupa.net

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