# mathprog-NLP: Mathematical Non-Linear Programming In fPortfolio: Rmetrics - Portfolio Selection and Optimization

 mathprog-NLP R Documentation

## Mathematical Non-Linear Programming

### Description

Mathematical Non-Linear Programming.

### Usage

rsolnpNLP(start, objective,
lower=0, upper=1, linCons, funCons, control=list())
solnpNLP(start, objective,
par.lower=NULL, par.upper=NULL,
eqA=NULL, eqA.bound=NULL,
ineqA=NULL, ineqA.lower=NULL, ineqA.upper=NULL,
eqFun=list(), eqFun.bound=NULL,
ineqFun=list(), ineqFun.lower=NULL, ineqFun.upper=NULL,
control=list())
solnpNLPControl(
rho=1, outer.iter=400, inner.iter=800, delta=1e-07, tol=1e-08, trace=0)

rnlminb2NLP(start, objective,
lower=0, upper=1, linCons, funCons, control=list())
nlminb2NLP(start, objective,
par.lower=NULL, par.upper=NULL,
eqA=NULL, eqA.bound=NULL,
ineqA=NULL, ineqA.lower=NULL, ineqA.upper=NULL,
eqFun=list(), eqFun.bound=NULL,
ineqFun=list(), ineqFun.lower=NULL, ineqFun.upper=NULL,
control=list())
nlminb2NLPControl(
eval.max=500, iter.max=400, trace=0, abs.tol=1e-20, rel.tol=1e-10,
x.tol=1.5e-08, step.min=2.2e-14, scale=1, R=1, beta.tol=1e-20)
rnlminb2

ramplNLP(start, objective,
lower=0, upper=1, amplCons, control=list(), ...)
amplNLP()
amplNLPControl(
solver="minos", project="ampl", trace=FALSE)

### Arguments

 start a numeric vector, the start values. objective a function object, the function to be optimized. lower, upper lower and upper bounds. linCons list of linear constraints: mat, lower, upper. funCons list of function constraints. amplCons AMPL constraints. control control list. ... optional arguments to be passed. par.lower, par.upper ... eqA ... eqA.bound ... ineqA ... ineqA.lower,ineqA.upper ... eqFun ... eqFun.bound ... ineqFun ... ineqFun.lower,ineqFun.upper ...
 rho 1 outer.iter 400 inner.iter 800 delta 1e-07 tol 1e-08
 eval.max 500 iter.max 400 trace 0 abs.tol 1e-20 rel.tol 1e-10 x.tol 1.5e-08 step.min 2.2e-14 scale 1 R 1 beta.tol 1e-20 solver solver name project project name

### 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 April 25, 2023, 9:11 a.m.