R help - May 2005 - opimization problem

hi,

i want to execute the following opimization problem:
max r*w
s.t.:   w*z=1	# sum of w is 1
r, w are [nx1] vectors, z is a [nx1] vector consisting of 1
so far so good, works fine with lp

the problem arises with the additional restriction
w' * V * w
where V is a [nxn] matrix
how can i include this restriction since w arises twice?

thanks,
gg

-- 
---------------------------------------------------
Gottfried Gruber
mailto:gottfried.gruber at terminal.at
www: http://gogo.sehrsupa.net

Hi Gottfried,

w' * V * w is not a restriction, because there is no equal sign. 
Do you mean w' * V * w = 1?

Arne
 
On Sunday 01 May 2005 19:21, Gottfried Gruber wrote:
> hi,
>
> i want to execute the following opimization problem:
> max r*w
> s.t.:   w*z=1	# sum of w is 1
> r, w are [nx1] vectors, z is a [nx1] vector consisting of 1
> so far so good, works fine with lp
>
> the problem arises with the additional restriction
> w' * V * w
> where V is a [nxn] matrix
> how can i include this restriction since w arises twice?
>
> thanks,
> gg
-- 
Arne Henningsen
Department of Agricultural Economics
University of Kiel
Olshausenstr. 40
D-24098 Kiel (Germany)
Tel: +49-431-880 4445
Fax: +49-431-880 1397
ahenningsen at agric-econ.uni-kiel.de
http://www.uni-kiel.de/agrarpol/ahenningsen/