[R] linear constraints---absolute value

livia yn19832 at msn.com
Mon Jan 21 16:28:33 CET 2008

I would like to optimize the function "fqp" as following:
a= c(0.2,0.3,0.4) 
fqp <- function(b) {t(b)%*%a-0.5*((t(b)%*%vcov)%*%b)} 

I want the linear constraint to be something  like abs(b1)+ abs(b2)+abs(b3)
= 1.5. 

I found it diffcult to use "constrOptim" in this case.

Could anyone give me some advice? Many thanks.

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