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signalconvnoisy
2010 Dec 04
1
Quadratic programming with semi-definite matrix
Hello.
I'm trying to solve a quadratic programming problem of the form min
||Hx - y||^2 s.t. x >= 0 and x <= t using solve.QP in the quadprog
package but I'm having problems with Dmat not being positive definite,
which is kinda okay since I expect it to be numerically semi-definite
in most cases. As far as I'm aware the problem arises because the
Goldfarb and Idnani method first