linear.constraint.iq {portfolio.optimization}

Create or update a vector-based linear inequality constraint set

Description

linear.constraint.iq creates a vector-based linear inequality constraint: Aeq(range) * factors <= beq

Usage

linear.constraint.iq(constraints.linear, range, b, factors = NULL,
  leq = TRUE)

Arguments

constraints.linear

the current set of inequality constraints

range

the range of the variables to set (default 1 if factors is NULL)

b

right-hand side scalar

factors

values to set for each variable in the given range

leq

if false then the sign of the constraint will be inversed

Value

the new (updated) set of inequality constraints

Author(s)

Ronald Hochreiter, [e-mail]