[R] opimization problem

Gottfried Gruber gottfried.gruber at terminal.at
Mon May 2 19:06:21 CEST 2005


Hi Arne,

i'm sorry - the additional restriction is 
w' * V * w <= j
where j is a [1x1] matrix.
i don't know how to incorporate this restriction in the lp-object.

would be grateful on any response,
thanks,
gg

On Monday 02 May 2005 09:55, Arne Henningsen wrote:
> Hi Gottfried,
>
> w' * V * w is not a restriction, because there is no equal sign.
> Do you mean w' * V * w = 1?
>
> Arne
>
> On Sunday 01 May 2005 19:21, Gottfried Gruber wrote:
> > hi,
> >
> > i want to execute the following opimization problem:
> > max r*w
> > s.t.:   w*z=1	# sum of w is 1
> > r, w are [nx1] vectors, z is a [nx1] vector consisting of 1
> > so far so good, works fine with lp
> >
> > the problem arises with the additional restriction
> > w' * V * w
> > where V is a [nxn] matrix
> > how can i include this restriction since w arises twice?
> >
> > thanks,
> > gg

-- 
---------------------------------------------------
Gottfried Gruber
mailto:gottfried.gruber at terminal.at
www: http://gogo.sehrsupa.net




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