normalizeConstraints {quadprogXT}

Normalize constraint matrix

Description

it is not uncommon for quadprog to fail when there are large differences in 2-norm between the columns of the constraint matrix (Amat). It is possible to alleviate this issue in some cases by normalizing the constraints (and their boundaries, defined by bvec).

Usage

normalizeConstraints(Amat, bvec)

Arguments

Amat

constraint matrix as defined by solve.QP

bvec

constraints as defined by solve.QP

Value

a list with two elements: Amat and bvec that contain the normalized constraints.

See Also

quadprog::solve.QP

quadprog::solve.QP.compact