Look at the solve.QP() function in the "quadprog" package.
Ravi.
________________________________________
From: [email protected] [[email protected]] On Behalf Of
vioravis [[email protected]]
Sent: Monday, May 09, 2011 10:46 PM
To: [email protected]
Subject: [R] SQP with Constraints
I am trying to optimize function similar to the following:
Minimize x1^2 - x2^2 - x3^2
st x1 < x2
x2 < x3
The constraint is that the variables should be monotonically increasing. Is
there any package that implements Sequential Quadratic Programming with
ability include these constraints???
Thanks you.
Ravi
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