mathprog-QP {fPortfolio}

Mathematical Linear Programming

Description

Mathematical Quadratic Programming.

Usage

rsolveQP(objective, lower=0, upper=1, linCons, 
    control=list(solver="quadprog", invoke=c("R", "AMPL", "NEOS")))

rquadprogQP(objective, lower=0, upper=1, linCons, control=list())
quadprogQP(objective=list(dvec=NULL, Dmat=NULL), 
    par.lower=NULL, par.upper=NULL, 
    eqA=NULL, eqA.bound=NULL,  
    ineqA=NULL, ineqA.lower=NULL, ineqA.upper=NULL,
    control=list())
quadprogQPControl(solver="quadprog", trace=FALSE)
rquadprog

ripopQP(objective, lower=0, upper=1, linCons, control=list())
ipopQP(objective=list(dvec=NULL, Dmat = NULL), 
    par.lower=NULL, par.upper=NULL, 
    eqA=NULL, eqA.bound=NULL,
    ineqA=NULL, ineqA.lower=NULL, ineqA.upper=NULL,
    control=list())
ipopQPControl(
    sigf=12, maxiter=400, margin=0.05, bound=10, verb=0, 
    inf=1e12, solver="ipop", trace=FALSE) 
ripop
       
ramplQP(objective, lower=0, upper=1, linCons, control=list())
amplQP(objective=list(dvec=NULL, Dmat=NULL), 
    x_L=NULL, x_U=NULL, A=NULL, b_L=NULL, b_U=NULL,
    control=list(), ...)
amplQPControl(solver="ipopt", project="ampl", 
    inf=1e12, trace = FALSE)
       
rkestrelQP(objective, lower=0, upper=1, linCons, control=list())
kestrelQP(objective=list(dvec=NULL, Dmat=NULL), 
    x_L=NULL, x_U=NULL, A=NULL, b_L=NULL, b_U=NULL,
    control=list(), ...)
kestrelQPControl(solver="loqo", project="kestrel", 
    inf=1e12, trace = FALSE)
        
rneosQP(objective, lower=0, upper=1, linCons, control=list())
neosQP(objective=list(dvec=NULL, Dmat=NULL), 
    x_L=NULL, x_U=NULL, A=NULL, b_L=NULL, b_U=NULL,
    control=list(), ...)    
neosQPControl(solver="ipopt", category="nco", project="neos", 
    inf=1e12, trace=FALSE) 

Arguments

objective

...

lower, upper

lower and upper bounds.

linCons

list of linear constraints: mat, lower, upper.

control

control list.

...

optional arguments to be passed.

par.lower, par.upper

...

eqA

...

eqA.bound

...

ineqA

...

ineqA.lower, ineqA.upper

...

x_L, x_U

...

A

...

b_L, b_U

...

solver

...

category

...

project

...

inf

...

trace

...

sigf

...

maxiter

...

margin

...

bound

...

verb

...

Value

a list of class solver with the following named ebtries: opt, solution, objective, status, message, solver, version.

References

Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.