ConstrainedQuadraticOptimiser
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Function Description
Returns a vector 
that minimises
a given penalty function 
subject to
lower bound constraints of the form 
and 
further
(linear) constraints of the form 
.
Constraints are coded -1 for 
,
0 for 
and +1 for 
.
For example, if 
, 
and
the additional linear constraints are 
and 
then:
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Output type / Parameter details
Output type: Double()
| Parameter Name | Variable Type | Description |
| LinearTerms | Double() | Vector containing the linear terms in the loss function (n terms) |
| QuadraticTerms | Double() | Array containing the quadratic terms in the loss function (n x n terms) |
| LowerBounds | Double() | Vector containing the lower bounds on the variables (n terms) |
| ConstraintMatrix | Double() | Array containing the constraint coefficients applicable to the problem (m x n terms) |
| ConstraintLimits | Double() | Vector containing the constraint limits applicable to the problem (m terms) |
| ConstraintTypes | Integer() | Vector containing constraint types (-ve is a less than constraint, 0 is an equals constraint and +ve is a greater than) (m terms) |
Links to:
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Interactively run function
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Interactive instructions
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Example calculation
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Output type / Parameter details
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Illustrative spreadsheet
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Other Portfolio optimisation functions
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Computation units used
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