R devel - Dec 2007 - Quadratic Programming

Hi all!

I have a little question concerning quadprog. To make it simple I'll start
by stating the problem:

I want to minimize 

		h(d,delta)=0.5d^T B d +nabla(f(x))^T d +rho*delta^2

With respect to d\in R^n and delta \in R. I obviously have constraints
(depending on both d and delta).

Solve.QP does give me a good result for d but I cannot obtain anything for
delta. Simce dim(Dmat)=n and sol<-rep(0,n) it isn't particularly
surprising.
To set a diagonal matrix

		(B	0	)
	Amat=	(0	rho	)

Is a crapy idea. Does anyone have an idea? 

Yours,

Serge

"Beatus qui prodest quibus potest"  -   (Lycklig är den som hjälper
andra)

Serge de Gosson de Varennes
Försäkringskassan 
Swedish Social Insurance Agency
+46-76 11 40 799
serge.de.gosson.de.varennes@forsakringskassan.se





	[[alternative HTML version deleted]]

Please use the R-help mailing for such *Questions*.

R-devel has a very different purpose.
Probably you should also read the posting guide,
--> http://www.r-project.org/posting-guide.html

Regards,
Martin Maechler, ETH Zurich
>>>>> "dGdVS" == de Gosson de Varennes Serge (4100)
<serge.de.gosson.de.varennes at forsakringskassan.se>
>>>>>     on Fri, 14 Dec 2007 09:15:26 +0100 writes:
    dGdVS> Hi all!  I have a little question concerning
    dGdVS> quadprog. To make it simple I'll start by stating the
    dGdVS> problem:

    dGdVS> I want to minimize

    dGdVS> 		h(d,delta)=0.5d^T B d +nabla(f(x))^T d
    dGdVS> +rho*delta^2

    dGdVS> With respect to d\in R^n and delta \in R. I obviously
    dGdVS> have constraints (depending on both d and delta).

    dGdVS> Solve.QP does give me a good result for d but I
    dGdVS> cannot obtain anything for delta. Simce dim(Dmat)=n
    dGdVS> and sol<-rep(0,n) it isn't particularly surprising.
    dGdVS> To set a diagonal matrix

    dGdVS> 		(B 0 ) Amat= (0 rho )

    dGdVS> Is a crapy idea. Does anyone have an idea?

    dGdVS> Yours,

    dGdVS> Serge

    dGdVS> "Beatus qui prodest quibus potest" - (Lycklig ?r
    dGdVS> den som hj?lper andra)

    dGdVS> Serge de Gosson de Varennes F?rs?kringskassan
    dGdVS> Swedish Social Insurance Agency +46-76 11 40 799
    dGdVS> serge.de.gosson.de.varennes at forsakringskassan.se





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