Dear all, I need to maximize the v:
v= D' W D D is a column vector ( n , 1) W is a given matrix (n, n) subject to: sum D= 1 (BTW, n is less than 300) I´ve tried to use maxBFGS, as follows: ##################################### objectiveFunction<-function(x) { return(t(D)%*%W%*%D) } Amat<-diag(nrow(D)) Amat<-rbind((rep(-1, nrow(D))), Amat) bvec<-matrix( c(0), nrow(D)+1, 1) bvec[1,1]<-c(1) startValues=rep(1/nrow(D),nrow(D)) #Istart value is homogeneous distribution res <<- maxBFGS(objectiveFunction, start=startValues, constraints=list(ineqA=Amat, ineqB=bvec)) ######################################## The outcome is equal to the startValues. I´ve tried several initial values and nothing changes. Please, what am I doing wrong? Any suggestion? Thanks a lot! Leo. [[alternative HTML version deleted]]
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