fPortfolio (version 4023.84)

mathprog-QP: Mathematical Linear Programming

Description

Mathematical Quadratic Programming.

Usage

rsolveQP(objective, lower=0, upper=1, linCons, 
    control=list(solver="quadprog", invoke=c("R", "AMPL", "NEOS")))
rquadprogQP(objective, lower=0, upper=1, linCons, control=list())
quadprogQP(objective=list(dvec=NULL, Dmat=NULL), 
    par.lower=NULL, par.upper=NULL, 
    eqA=NULL, eqA.bound=NULL,  
    ineqA=NULL, ineqA.lower=NULL, ineqA.upper=NULL,
    control=list())
quadprogQPControl(solver="quadprog", trace=FALSE)
rquadprog
ripopQP(objective, lower=0, upper=1, linCons, control=list())
ipopQP(objective=list(dvec=NULL, Dmat = NULL), 
    par.lower=NULL, par.upper=NULL, 
    eqA=NULL, eqA.bound=NULL,
    ineqA=NULL, ineqA.lower=NULL, ineqA.upper=NULL,
    control=list())
ipopQPControl(
    sigf=12, maxiter=400, margin=0.05, bound=10, verb=0, 
    inf=1e12, solver="ipop", trace=FALSE) 
ripop
       
ramplQP(objective, lower=0, upper=1, linCons, control=list())
amplQP(objective=list(dvec=NULL, Dmat=NULL), 
    x_L=NULL, x_U=NULL, A=NULL, b_L=NULL, b_U=NULL,
    control=list(), ...)
amplQPControl(solver="ipopt", project="ampl", 
    inf=1e12, trace = FALSE)
       
rkestrelQP(objective, lower=0, upper=1, linCons, control=list())
kestrelQP(objective=list(dvec=NULL, Dmat=NULL), 
    x_L=NULL, x_U=NULL, A=NULL, b_L=NULL, b_U=NULL,
    control=list(), ...)
kestrelQPControl(solver="loqo", project="kestrel", 
    inf=1e12, trace = FALSE)
        
rneosQP(objective, lower=0, upper=1, linCons, control=list())
neosQP(objective=list(dvec=NULL, Dmat=NULL), 
    x_L=NULL, x_U=NULL, A=NULL, b_L=NULL, b_U=NULL,
    control=list(), ...)    
neosQPControl(solver="ipopt", category="nco", project="neos", 
    inf=1e12, trace=FALSE)

Value

a list of class solver with the following named ebtries:

opt,

solution,

objective,

status,

message,

solver,

version.

Arguments

objective

...

lower, upper

lower and upper bounds.

linCons

list of linear constraints: mat, lower, upper.

control

control list.

...

optional arguments to be passed.

par.lower, par.upper

...

eqA

...

eqA.bound

...

ineqA

...

ineqA.lower,ineqA.upper

...

x_L,x_U

...

A

...

b_L,b_U

...

solver

...

category

...

project

...

inf

...

trace

...

sigf

...

maxiter

...

margin

...

bound

...

verb

...

References

Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.