[R] Subject: short-sale constraint with nonpositive-definite matrix in portfolio optimization

Ravi Varadhan ravi.varadhan at jhu.edu
Sun Dec 21 18:32:47 CET 2014


You can try a projected gradient approach, which is implemented in the spg() function in the "BB" package. You have to provide a projection function which will take an infeasible matrix as input and will give a feasible (i.e. positive-definite) matrix as output. This kind of matrix projection is quite easy to do, and in fact, there are functions in R to do this (e.g., see posdefify() function in "sfsmisc" package).

There is a recent review article on spectral projected gradient algorithm in J Statistical Software.


Hope this is helpful,


	[[alternative HTML version deleted]]

More information about the R-help mailing list