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monomvn (version 1.9-13)

monomvn.solve.QP: Solve a Quadratic Program

Description

Solve a Quadratic Program specified by a QP object using the covariance matrix and mean vector specified

Usage

monomvn.solve.QP(S, QP, mu = NULL)

Arguments

S

a positive-definite covariance matrix whose dimensions agree with the Quadratic Program, e.g., nrow(QP$Amat)

QP

a Quadratic Programming object like one that can be generated automatically by default.QP

mu

an mean vector with length(mu) = nrow(QP$Amat) that is required if QP$dmu == TRUE or QP$mu.constr[1] != 0

Value

The output is a vector whose length agrees with the dimension of S, describing the solution to the Quadratic Program given

Details

The protocol executed by this function is identical to the one used on samples of \(\Sigma\) and \(\mu\) obtained in bmonomvn when a Quadratic Program is specified through the QP argument. For more details on the specification of the Quadratic Program implied by a QP object, please see default.QP and the examples therein

See Also

default.QP, bmonomvn, and solve.QP in the quadprog package