[R] Quadratic Optimization

[Prof Brian Ripley]

On Sat, 2 Dec 2006, Martin Maechler wrote:

>>>>>> "SpG" == Spencer Graves <spencer.graves at pdf.com>
>>>>>>     on Fri, 01 Dec 2006 17:29:56 -0800 writes:
>
>    SpG>       Unless I'm missing something, optimizing a linear
>    SpG> function with quadratic constraints is almost trivial
>    SpG> with Langrange multipliers.
>
> yes. Good point, let's hope we're not solving someone's homework
> here :-)

But that is a single equality quadratic constraint, and I believe 
'quadratic constraints' (note, plural) conventionally means multiple 
inequality constraints.  That meaning is a hard problem that needs 
specialized software (most likely using interior-point methods).

>    SpG>       Maximize a'x subject to x'Ax=c.

Not I believe the usual meaning (nor what Googling 'quadratic constraints' 
came up with for me).

-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
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