linprogS2 <- function(Sigma, e, lambda) {
p <- nrow(Sigma)
if (p!=ncol(Sigma)) stop("Sigma should be a square matrix!")
f.obj <- rep(1, 2*p)
con1 <- cbind(-Sigma, +Sigma)
b1 <- lambda - e
b2 <- lambda + e
f.con <- rbind(-diag(2*p), con1, -con1)
f.dir <- rep("<=", 4*p)
f.rhs <- c(rep(0,2*p), b1, b2)
lp.out <- lp("min", f.obj, f.con, f.dir, f.rhs)
beta <- lp.out$solution[1:p] - lp.out$solution[(p+1):(2*p)]
if (lp.out$status == 2) warning("No feasible solution! Try a larger lambda maybe!")
return(beta)
}
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.