When I run solve.QP on my problem, I get the following error from R:
Error in solve.QP(sigma, rep(0, 5), t(Amat), bvec, meq = 2) :
matrix D in quadratic function is not positive definite!
The Goldfarb-Idnani algorithm starts off by calculating the unconstrained solution. Thus, it requires that the matrix D in the objective function is positive definite.
Excerpt from Fortran source file solve.QP.f:
c this routine uses the Goldfarb/Idnani algorithm to solve the c following minimization problem: c c minimize -d^T x + 1/2 * x^T D x c where A1^T x = b1 c A2^T x >= b2 c c the matrix D is assumed to be positive definite. Especially, c w.l.o.g. D is assumed to be symmetric.