QPsolve {scdensity}R Documentation

A wrapper to call solve.QP.

Description

This function takes arguments slightly differently from solve.QP, to make it more convenient for internal use. It also implements measures to robustify calls to solve.QP:

The output of this function is a list with elements

Usage

QPsolve(D, d, A, b, Aeq, beq)

Arguments

D

The matrix of the quadratic objective.

d

The vector in the linear term of the quadratic objective.

A

The matrix of inequality constraints.

b

The vector of RHS of the inequalities.

Aeq

The matrix of equality constraints.

beq

The vector of RHS of the equalities.

Details

solve.QP defines its quadratic program as minimizing 1/2 * x'Dx - x'd, subject to constraints A'x >= b. Equality constraints have to be in the first rows of A'.

This function minimizes x'Dx - x'd, subject to inequality constraints Ax >= b and Equality constraints Aeq*x = beq.

Value

A list with elements described above.


[Package scdensity version 1.0.3 Index]