[R] Optimization under an absolute value constraint

[roger koenker]

this should be possible in the lasso2 package.


url:    www.econ.uiuc.edu/~roger            Roger Koenker
email    rkoenker at uiuc.edu            Department of Economics
vox:     217-333-4558                University of Illinois
fax:       217-244-6678                Champaign, IL 61820


On Sep 7, 2007, at 1:17 PM, Phil Xiang wrote:

> I need to optimize a multivariate function f(w, x, y, z, ...) under  
> an absolute value constraint. For instance:
>
>     min { (2x+y) (w-z) }
>
> under the constraint:
>
>     |w| +  |x| + |y| + |z| = 1.0 .
>
> Is there any R function that does this? Thank you for your help!
>
>
>         Phil Xiang
>
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