[R] Solving a quadratically constrained linear program with inital values

Bert Gunter bgunter@4567 @end|ng |rom gm@||@com
Tue May 18 02:27:27 CEST 2021

Have you looked here: https://cran.r-project.org/web/views/Optimization.html

(Warning: I have no idea whether your query even makes mathematical sense.)

Bert Gunter

"The trouble with having an open mind is that people keep coming along and
sticking things into it."
-- Opus (aka Berkeley Breathed in his "Bloom County" comic strip )

On Mon, May 17, 2021 at 12:56 PM Pascal Kündig <pascal.kuendig using bluewin.ch>

> Hi everyone,
> I'm looking for an R-function that solves a quadratically constrained
> linear program of the form:
> min(x) -\mu' x
> subject to
> x' \Sigma x <= s
> 1'x <= 1
> -1'x <= -1
> Ix <= u
> -Ix <= -b
> while considering a given starting value for the vector x.
> The above problem results from a larger program of the same structure
> and by setting the constraint that some elements of the solution vector
> \tilde{x} of this larger program have to be 0 if they lie below a
> certain threshold. The starting value for the vector x is therefore a
> subvector of \tilde{x}. \Sigma is symmetric but not necessarily positive
> definite.
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