[R] minimization a quadratic form with some coef fixed and some constrained
Yingfu Xie
Yingfu.Xie at sekon.slu.se
Wed Aug 9 17:33:54 CEST 2006
Hello, all,
I had problems with an extension to a classic optimization problem.
The target is to minimize a quadratic form a'Ma with respect to vector
b, where vector a=(b',-1)', i.e., a is the expand of b, and M is a
symmetric matrix (positive definite if needed). One more constrain on b
is b'b=1. I want to solve b given M.
I tried but it seems impossible to find an analytic solution for b. Any
objection?
Now, come to the numerical. Does anybody have any idea on how to
parameterize this to use, e.g. optim() or constrOptim()?
Any help are appreciated very much!
Regards,
Yingfu
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