R help - Jul 2008 - Urgent

Hi everyone

I try to use the solve.QP to solve the quadratic programming problem.
But the Dmat in the funciotn is non-positive definite.

Can anyone tell me which R function can deal with the quadratic
programming with non positive definite Dmat matrix ( in solve.QP)

I really appreaciated.

Yunlei Hu

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Hi Yunlei,

Is your problem constrained or not?
If it is unconstrained and your matrix is not positive definite, the minimum is
unbounded (unless you are extremely lucky and the matrix is positive
semi-definite and the vector which multiplies the unknowns is exactly
perpendicular to all the eigenvectors with 0 eigenvalues).
If the problem is constrained you may use regular optimization functions (like
optim).

Regards,

Moshe.


--- On Tue, 22/7/08, Yunlei.Hu at barclayscapital.com <Yunlei.Hu at
barclayscapital.com> wrote:
> From: Yunlei.Hu at barclayscapital.com <Yunlei.Hu at
barclayscapital.com>
> Subject: [R] Urgent
> To: r-help at r-project.org
> Received: Tuesday, 22 July, 2008, 6:12 PM
> Hi everyone
> 
> I try to use the solve.QP to solve the quadratic
> programming problem.
> But the Dmat in the funciotn is non-positive definite.
> 
> Can anyone tell me which R function can deal with the
> quadratic
> programming with non positive definite Dmat matrix ( in
> solve.QP)
> 
> I really appreaciated.
> 
> Yunlei Hu
> 
> _______________________________________________
> 
> This e-mail may contain information that is confidential,
> privileged or otherwise protected from disclosure. If you
> are not an intended recipient of this e-mail, do not
> duplicate or redistribute it by any means. Please delete it
> and any attachments and notify the sender that you have
> received it in error. Unless specifically indicated, this
> e-mail is not an offer to buy or sell or a solicitation to
> buy or sell any securities, investment products or other
> financial product or service, an official confirmation of
> any transaction, or an official statement of Barclays. Any
> views or opinions presented are solely those of the author
> and do not necessarily represent those of Barclays. This
> e-mail is subject to terms available at the following link:
> www.barcap.com/emaildisclaimer. By messaging with Barclays
> you consent to the foregoing.  Barclays Capital is the
> investment banking division of Barclays Bank PLC, a company
> registered in England (number 1026167) with its registered
> offi!
>  ce at 1 Churchill Place, London, E14 5HP.  This email may
> relate to or be sent from other members of the Barclays
> Group.
> 
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