search for: linearcomb

...for the minimisation mat <- rmvnorm(10000, mean=c(3, 2.75, 2.8, 3, 2.9), sd=c(0.1, 0.1,0.12, 0.15, 0.10), cov=corr) # here is the simple optimisation function that allows the 5th element to be potentially negative obj.funA <- function(opt, mat) { opt <- c(opt, 1-sum(opt)) LinearComb <- mat%*%opt obj <- -min(LinearComb) obj } # I want to put an upper boundary constraint on the first variable - not being greater than 0.35 and the rest being between 0 and 1 opt <- nlminb(rep(0,4), lower=rep(0,4), upper=c(0.35, 1, 1, 1) , obj.funA, mat=mat) opt.x <- opt$parameters...