linear.constraint.iq {portfolio.optimization} | R Documentation |
linear.constraint.iq
creates a vector-based linear inequality
constraint: Aeq(range) * factors <= beq
linear.constraint.iq(constraints.linear, range, b, factors = NULL, leq = TRUE)
constraints.linear |
the current set of inequality constraints |
range |
the range of the variables to set (default 1 if factors is NULL) |
b |
right-hand side scalar |
factors |
values to set for each variable in the given range |
leq |
if false then the sign of the constraint will be inversed |
the new (updated) set of inequality constraints
Ronald Hochreiter, ronald@algorithmic.finance