XploRe Help : qp0

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:

z is the solution of 0.5 x'*H*x+f'x under the constraint Ax <= b and x>=0. For b holds: b>=0.

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

Author: S. Klinke, 19971110