[R] Optimization: non-liner constraints

[Gabor Grothendieck]

On Jan 15, 2008 9:46 AM, livia <yn19832 at msn.com> wrote:
>
> Hello everyone,
>
> I would like to optimize the function "fqp" as following:
>
> a=c(0.2,0.3,0.4)
> vcov=matrix(c(1,2,3,3,2,2,2,3,1),3,3)
> c=2
> fqp <- function(b) {t(b)%*%a-0.5*c*((t(b)%*%vcov)%*%b)}
>
> with constraints like ((t(b)%*%vcov)%*%b) <= 0.5
>
> Is there a function of doing it? Many thanks.

Try the quadprog package.