mathprog-LP: Mathematical Linear Programming In fPortfolio: Rmetrics - Portfolio Selection and Optimization

Description

Mathematical Linear Programming.

Usage

 ``` 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21``` ```rsolveLP(objective, lower=0, upper=1, linCons, control=list(solver="glpk", invoke=c("R", "AMPL", "NEOS"))) rglpkLP(objective, lower=0, upper=1, linCons, control=list()) glpkLP glpkLPControl(solver = "glpk", project="r", trace=FALSE) rsymphonyLP(objective, lower=0, upper=1, linCons, control=list()) symphonyLP symphonyLPControl(solver="symphony", project="r", trace=FALSE) ramplLP(objective, lower = 0, upper = 1, linCons, control=list()) amplLP(objective, x_L=NULL, x_U=NULL, A=NULL, b_L=NULL, b_U=NULL, control=list()) amplLPControl(solver="ipopt", project="ampl", inf=1e12, trace=FALSE) rneosLP(objective, lower = 0, upper = 1, linCons, control=list()) neosLP(objective, x_L=NULL, x_U=NULL, A=NULL, b_L=NULL, b_U=NULL, control=list()) neosLPControl(solver="ipopt", category="lp", project="neos", inf=1e12, trace=FALSE) ```

Arguments

 `objective` a numeric vector. `lower, upper` lower and upper bounds. `linCons` list of linear constraints: mat, lower, upper. `control` control list. `x_L, x_U` lower and upper box bounds. `A` linear constraints matrix. `b_L, b_U` lower and upper linear constraints bounds. `solver` a character string, the solver name. `category` a character string, the NEOS category name. `project` a character string, the AMPL project name. `inf` a numeric value, the maximum value used for bounds. `trace` a logical flag, if TRUE the optimization will be traced.

Value

a list of class `solver` with the following named ebtries: `opt`, `solution`, `objective`, `status`, `message`, `solver`, `version`.

References

Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.

fPortfolio documentation built on March 26, 2020, 9:17 p.m.