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

[Martin Maechler]

>>>>> Bert Gunter 
>>>>>     on Mon, 17 May 2021 17:27:27 -0700 writes:

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

yes, he has .. and I've suggested to him to ask here ... 

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

Indeed, it *does* make sense; at least for the case of positive
(semi-)definite \Sigma  which we may well assume for the moment.

Martin Maechler


    > 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>
    > wrote:

    >> 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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    >> 

    > [[alternative HTML version deleted]]

    > ______________________________________________
    > R-help using r-project.org mailing list -- To UNSUBSCRIBE and more, see
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    > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
    > and provide commented, minimal, self-contained, reproducible code.