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Minimizing tracking error with restricted number of stocks

Alec Schmidt 
Say I have a portfolio of 100 stocks and want to find a subset of 20 stocks with minimum tracking error in respect to the original portfolio. I wonder if a solver to this problem is implemented in some R-based library.

Thanks! Alec

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Alec Schmidt Minimizing tracking error with restricted number of stocks Mar 7 Vivek Rao Minimizing tracking error with restricted number of stocks Mar 7 Brian G. Peterson Minimizing tracking error with restricted number of stocks Mar 7 Alec Schmidt Minimizing tracking error with restricted number of stocks Mar 7 Brian G. Peterson Minimizing tracking error with restricted number of stocks Mar 7 Jason Hart Minimizing tracking error with restricted number of stocks Mar 8 Alec Schmidt Minimizing tracking error with restricted number of stocks Mar 8 Brian G. Peterson Minimizing tracking error with restricted number of stocks Mar 8 Alec Schmidt Minimizing tracking error with restricted number of stocks Mar 8 Alec Schmidt input parameters for optimize.portfolio.rebalancing() in PortfolioAnalytics Mar 21