SocpPhase1

This function determines values for <code>x</code>, whence they have not
 been specified by the user. Here, a feasibility problem is solved
 first and its solution is then used as an initial point for the
 original problem.

optimize

Provision of a set of models and methods for use in the allocation and management of capital in financial portfolios.

Alexios Ghalanos

parma

Portfolio Allocation and Risk Management Applications

Alexios Galanos

Bernhard Pfaff

Miguel Sousa Lobo

Lieven Vandenberghe

Stephen Boyd

Herve Lebret

SocpPhase1 function

<dl> <dt>f</dt>
<dd><code>vector</code>: the parameters of the objective function in
 its primal form.</dd> <dt>A</dt>
<dd><code>matrix</code>; the parameter matrix of the cone constraints.</dd> <dt>b</dt>
<dd><code>vector</code>: the parameter vector of the cone constraints.</dd> <dt>N</dt>
<dd><code>vector</code>: the count of rows pertinent to each cone constraint.</dd> <dt>control</dt>
<dd><code>list</code>: the list of control parameters for SOCP.</dd></dl>

Arguments

Author

SOCP: Initialising objective variable x in primal form — SocpPhase1

<dl>

 <dt>f</dt>
<dd><code>vector</code>: the parameters of the objective function in
 its primal form.</dd>

 <dt>A</dt>
<dd><code>matrix</code>; the parameter matrix of the cone constraints.</dd>

 <dt>b</dt>
<dd><code>vector</code>: the parameter vector of the cone constraints.</dd>

 <dt>N</dt>
<dd><code>vector</code>: the count of rows pertinent to each cone constraint.</dd>

 <dt>control</dt>
<dd><code>list</code>: the list of control parameters for SOCP.</dd>

</dl>

SOCP: Initialising objective variable x in primal form

SocpPhase1: SOCP: Initialising objective variable x in primal form

Description

Usage

Value

Arguments

Author

Details

References

See Also