SocpPhase2

This function determines values for <code>z</code>, whence they have not
 been specified by the user.

optimize

Provision of a set of models and methods for use in the allocation and management of capital in financial portfolios.

Alexios Ghalanos

parma

Portfolio Allocation and Risk Management Applications

Alexios Galanos

Bernhard Pfaff

Miguel Sousa Lobo

Lieven Vandenberghe

Stephen Boyd

Herve Lebret

SocpPhase2 function

<dl> <dt>f</dt>
<dd><code>vector</code>: the parameters of the objective function in
 its primal form.</dd> <dt>A</dt>
<dd><code>matrix</code>; the parameter matrix of the cone constraints.</dd> <dt>b</dt>
<dd><code>vector</code>: the parameter vector of the cone constraints.</dd> <dt>N</dt>
<dd><code>vector</code>: the count of rows pertinent to each cone constraint.</dd> <dt>x</dt>
<dd><code>vector</code>: initial point of SOCP in its primal form.</dd> <dt>control</dt>
<dd><code>list</code>: the list of control parameters for SOCP.</dd></dl>

Arguments

Author

SOCP: Initialising objective variable z in dual form — SocpPhase2

<dl>

 <dt>f</dt>
<dd><code>vector</code>: the parameters of the objective function in
 its primal form.</dd>

 <dt>A</dt>
<dd><code>matrix</code>; the parameter matrix of the cone constraints.</dd>

 <dt>b</dt>
<dd><code>vector</code>: the parameter vector of the cone constraints.</dd>

 <dt>N</dt>
<dd><code>vector</code>: the count of rows pertinent to each cone constraint.</dd>

 <dt>x</dt>
<dd><code>vector</code>: initial point of SOCP in its primal form.</dd>

 <dt>control</dt>
<dd><code>list</code>: the list of control parameters for SOCP.</dd>

</dl>

SOCP: Initialising objective variable z in dual form

SocpPhase2: SOCP: Initialising objective variable z in dual form

Description

Usage

Value

Arguments

Author

References

See Also