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st: Quadratic programming in Stata


From   Marcello Pagano <pagano@hsph.harvard.edu>
From   Schaffer@hsphsun2.harvard.edu, Mark.E@hsphsun2.harvard.edu
To   statalist@hsphsun2.harvard.edu
To   'owner-statalist@hsphsun2.harvard.edu'
Subject   st: Quadratic programming in Stata
Subject   Quadratic programming in Stata
Date   Tue, 12 Sep 2006 16:31:35 -0400

Does anybody know anything about quadratic programming in Stata?

I'm looking for something that would be done in Matlab by the qp command,
available in the Matlab Optimization Toolbox:

%   X=QP(H,f,A,b) solves the quadratic programming problem:
%
%   min 0.5*x'Hx + f'x   subject to:  Ax <= b

I've searched the usual places and come up with almost nothing, which
makes me think that the facility in Stata doesn't exist, and wouldn't be
trivial to implement.

If anybody could offer any suggestions on how the problem could be
approached, or whether it's as non-trivial as I fear, or whether they
know someone who has already written something like this for Stata, I'd
be very grateful to hear about it.

Cheers,
Mark

Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation Department of Economics
School of Management & Languages Heriot-Watt University Edinburgh EH14
4AS  UK
44-131-451-3494 direct
44-131-451-3296 fax
http://www.sml.hw.ac.uk/cert

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