Hi!

I have a quadratic optimization problem and I have some difficulties coding

it with R. The math version of the problem looks like this:

min sum(mj -mj^)^2 which goes from 1 to J

st.

mj-1 <= mj - delta1

1/(Qj-1 -Qj-2)(mj-2 -mj-1) <= 1/(Qj -Qj-1 ) (mj-1 - mj) -delta2

And I'm coding it like this:

Dmat <- matrix(0, J,J)

diag(Dmat) <- 1

dvec <- -hsmooth

Aeq <- 0

beq <- 0

Amat <- matrix(0,2*J-3,J)

bvec <- rep(0,2*J-3)

for(j in 1:J)

{

Amat[j-1,j-1] = -1

Amat[j-1,j] = 1

bvec[j-1] = Delta1

}

for(j in 2:J)

{

Amat[J-1+j-2,j] = -1/ (Q[j] - Q[j-1])

Amat[J-1+j-2,j-1]= 1/(Q[j] - Q[j-1]) + 1/(Q[j-1] - Q[j-2])

Amat[J-1+j-2,j-2]= -1/(Q[j-1] - Q[j-2])

bvec[J-1+j-1]= Delta2

}

solution <- solve.QP(Dmat, dvec, Amat, bvec)

I get errors:

Error in Amat[J - 1 + j - 2, j - 1] <- 1/(Q[j] - Q[j - 1]) + 1/(Q[j - :

replacement has length zero

And

Error in solve.QP(Dmat, dvec, Amat, bvec) :

Amat and dvec are incompatible!

I'm not sure what I'm doing wrong here, and I really could use some help

with this. Thanks in advance!

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