[R] Constrained Optimisation

[Florent D.]

try the lsei function from the limSolve package.

On Mon, Dec 19, 2011 at 2:32 PM, Russell2 <bhargavaoswal at hotmail.co.uk> wrote:
> Dear All
>
> I have a constrained optimisation problem, I want to maximise the following
> function
>
> t(weights) %*% CovarianceMatrix %*% weights
>
> for the weights,
>
> subject to  constraints on each element within the weights & the weights
> vector  summing to 1.
>
> i.e.
>
> weights = (x1, x2, x3), where x1 is within some given range (a +b, a - b).
>
> I have tried to do this using the optim function in R, setting the minimum &
> maximum tolerances as lower and upper bounds but once I set the constraint
> of the weights summing to 1 in the function, it creates an error.
>
> I have also looked at the constrOptim & solveQP packages and have similar
> problems with constraint settings.
>
> Thanks in advance.
>
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