Hello,
I would like to optimize the function "fqp" as following:
a= c(0.2,0.3,0.4)
vcov=matrix(c(1,2,3,4,5,6,7,8,9),3,3)
fqp <- function(b) {t(b)%*%a-0.5*((t(b)%*%vcov)%*%b)}
I want the linear constraint to be something like abs(b1)+ abs(b2)+abs(b3)
= 1.5.
I found it diffcult to use "constrOptim" in this case.
Could anyone give me some advice? Many thanks.
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