的代码看起来是这样的:
fn <- function(w){return(
((w[1] * w %*% Mat[1,]) - (w[1] * w %*% Mat[1,]))^2 +
((w[1] * w %*% Mat[1,]) - (w[2] * w %*% Mat[2,]))^2 +
((w[1] * w %*% Mat[1,]) - (w[3] * w %*% Mat[3,]))^2 +
((w[2] * w %*% Mat[2,]) - (w[1] * w %*% Mat[1,]))^2 +
((w[2] * w %*% Mat[2,]) - (w[2] * w %*% Mat[2,]))^2 +
((w[2] * w %*% Mat[2,]) - (w[3] * w %*% Mat[3,]))^2 +
((w[3] * w %*% Mat[3,]) - (w[1] * w %*% Mat[1,]))^2 +
((w[3] * w %*% Mat[3,]) - (w[2] * w %*% Mat[2,]))^2 +
((w[3] * w %*% Mat[3,]) - (w[3] * w %*% Mat[3,]))^2
)
}
library(Rsolnp)
#start values
w0 <- c(0.3, 0.6, 0.1)
#constrain function
eqcon <- function(w){(w[1]+w[2]+w[3])}
ebcon <- 1
#optimizer
sqp <- solnp(pars = w0,
fun = fn2,
eqfun = eqcon,
eqB = ebcon,
LB = c(0,0,0),
UB = c(1,1,1))
sqp$pars
'NlcOptim'实现了连续二次规划:https://cran.r-project.org/web/packages/NlcOptim/NlcOptim.pdf –
谢谢你很多您的评论!我发现这个包太,当我在寻找SQP包河的问题是我不能成像如何实现这... – DataAdventurer