Quadratic programming problems can be solved with “quadprog” package in R and the key point is to find the matrix notation of quadratic programming problems:
Example
Let’s figure out how to do it with an example of “Applying Nonlinear Programming to Portfolio Selection”:
Please note that, this example involves three variables (x1, x2, and x3). If you want an example of two variables (x1 and x2), please check my another post: Another Quadratic Programming Example with R.
After finished the Business Statistics course in my Pre-Master at Nyenrode, I felt myself comfortable to deal with data analysis, and I did not have big plans for the six-week winter holiday, so I was wondering maybe I could try some different things about data analytics. However, since I am not a fan of drag-and-drop tools such as Excel and SPSS, I ended up with R, which many friends have recommended before.