Hello everyone,
I would like to maximize the following function fqp with linear constraits
and the codes are as following:
a= c(0.2,0.3,0.4)
vcov=matrix(c(1,2,3,4,5,6,7,8,9),3,3)
fqp <- function(b) {t(b)%*%a-0.5*((t(b)%*%vcov)%*%b)}
constrOptim(c(b1,b2,b3), fqp,NULL,ui=?, ci=?, control=list(fnscale=-1))
The linear constrait is like abs(b1)+ abs(b2)+abs(b3) <= 1.5. How can I set
"ui" and "ci"?
Could anyone give me some advice?Many thanks.
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