Shubha Vishwanath Karanth wrote:
Hi R,
I have the variance-covariance matrix,
V=matrix(c(0.011119238, 0.002407527, 0.002407527, 0.020739401),2,2)
I need to find a vector X=c(x1,x2), such that
1) X'VX is equal to a constant 2 (say) and
2) sum(x) should be equal to a another constant 1.5 (say).
How do we do this in R?
You can try to optimize using optim() with an appropriate function to be
minimized such as f(X) = (X'VX-2)^2 + (sum(X)-1.5)^2
Uwe Ligges
BR, Shubha
Shubha Karanth | Amba Research
Ph +91 80 3980 8031 | Mob +91 94 4886 4510
Bangalore * Colombo * London * New York * San José * Singapore *
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