R help - May 2021 - Solving a quadratically constrained linear program with inital values

Hi everyone,
I'm looking for an R-function that solves a quadratically constrained 
linear program of the form:

min(x) -\mu' x
subject to
x' \Sigma x <= s
1'x <= 1
-1'x <= -1
Ix <= u
-Ix <= -b

while considering a given starting value for the vector x.
The above problem results from a larger program of the same structure 
and by setting the constraint that some elements of the solution vector 
\tilde{x} of this larger program have to be 0 if they lie below a 
certain threshold. The starting value for the vector x is therefore a 
subvector of \tilde{x}. \Sigma is symmetric but not necessarily positive 
definite.

Have you looked here: https://cran.r-project.org/web/views/Optimization.html

(Warning: I have no idea whether your query even makes mathematical sense.)

Bert Gunter

"The trouble with having an open mind is that people keep coming along and
sticking things into it."
-- Opus (aka Berkeley Breathed in his "Bloom County" comic strip )


On Mon, May 17, 2021 at 12:56 PM Pascal K?ndig <pascal.kuendig at
bluewin.ch>
wrote:
> Hi everyone,
> I'm looking for an R-function that solves a quadratically constrained
> linear program of the form:
>
> min(x) -\mu' x
> subject to
> x' \Sigma x <= s
> 1'x <= 1
> -1'x <= -1
> Ix <= u
> -Ix <= -b
>
> while considering a given starting value for the vector x.
> The above problem results from a larger program of the same structure
> and by setting the constraint that some elements of the solution vector
> \tilde{x} of this larger program have to be 0 if they lie below a
> certain threshold. The starting value for the vector x is therefore a
> subvector of \tilde{x}. \Sigma is symmetric but not necessarily positive
> definite.
>
> ______________________________________________
> R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>
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