monomvn.solve.QP {monomvn} | R Documentation |
Solve a Quadratic Program specified by a QP
object
using the covariance matrix and mean vector specified
monomvn.solve.QP(S, QP, mu = NULL)
S |
a positive-definite covariance matrix whose
dimensions agree with the Quadratic Program, e.g.,
nrow(QP$Amat) |
QP |
a Quadratic Programming object like one that can
be generated automatically by default.QP |
mu |
an mean vector with
length(mu) = nrow(QP$Amat) that is required
if QP$dmu == TRUE or QP$mu.constr[1] != 0 |
The protocol executed by this function is identical to
the one used on samples of S and mu
obtained in bmonomvn
when a Quadratic Program
is specified through the QP
argument. For more details
on the specification of the Quadratic Program implied by a
QP
object, please see default.QP
and
the examples therein
The output is a vector whose length agrees with
the dimension of S
, describing the solution to the
Quadratic Program given
Robert B. Gramacy bobby@statslab.cam.ac.uk
default.QP
, bmonomvn
,
and solve.QP
in the quadprog package