[R] To find vector X under contraints

[Uwe Ligges]

Shubha Vishwanath Karanth wrote:
> Hi R,
> 
>  
> 
> I have the variance-covariance matrix,
> 
>  
> 
>> V=matrix(c(0.011119238, 0.002407527, 0.002407527, 0.020739401),2,2)
> 
>  
> 
> I need to find a vector X=c(x1,x2), such that 
> 
> 1) X'VX is equal to a constant 2 (say) and 
> 
> 2) sum(x) should be equal to a another constant 1.5 (say).
> 
>  
> 
> How do we do this in R?

You can try to optimize using optim() with an appropriate function to be 
minimized such as f(X) = (X'VX-2)^2 + (sum(X)-1.5)^2

Uwe Ligges





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> Shubha Karanth | Amba Research
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