normalizeConstraints function

Normalize constraint matrix

it is not uncommon for quadprog to fail when there are large differences in 2-norm between the columns of the constraint matrix (Amat). It is possible to alleviate this issue in some cases by normalizing the constraints (and their boundaries, defined by bvec).

normalizeConstraints(Amat, bvec)

Arguments

• Amat: constraint matrix as defined by solve.QP
• bvec: constraints as defined by solve.QP

Returns

a list with two elements: Amat and bvec that contain the normalized constraints.

See Also

quadprog::solve.QP

quadprog::solve.QP.compact