Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: math
See also: bfgs nelmin

Quantlet: qp0
Description: solves a quadratic optimization problem with linear inequality constraints

Usage: z = qp0 (H,f,A,b)
Input:
H nxn matrix
f nx1 matrix
A kxn matrix
b kx1 matrix
Output:
z nx1 matrix

Note:

Example:

library("math")

H=#(9,14,13,10)

H=H~#(14,23,21,19)

H=H~#(13,21,26,18)

H=H~#(10,19,18,25)

f=#(-140,-238,-234,-232)

A=trans(#(1,2,3,4)~#(3,1,4,2))

b=#(6,10)

qp0(H,f,A,b)

Result:

Contents of z

[1,] 2.8

[2,] 1.6

[3,] 0

[4,] 0


Library: math
See also: bfgs nelmin

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

(C) MD*TECH Method and Data Technologies, 21.9.2000