forum.alglib.net

Hello,

First of all - I'd like to say thank you to authors of the lib - I've just started using it and it just awesome.

I've got the following question: is it possible to set the linear constraint in form of the function?
I'm specifically speaking about my case where I'm trying to find optimal weights for securities in portfolio which - on one hand - maximizes returns, and on another hand - should have standard deviation of portfolio below some predefined threshold? So far I've found only how to set the linear constraints with minbleicsetlc - but I wonder is it possible to set this as function?

Thanks in advance!