Displaying 20 results from an estimated 300 matches similar to: "QCQP Optimization"
2010 Oct 28
1
Rsolnp examples
I'm interested in the Rsolnp package. For their primary function
"solnp", one example is given, and there is a reference to "unit
tests". Anyone know where these can be found? Also, Rsolnp is
used in a few other packages (e.g., depmixS4), but I cannot seem
to find source illustrating its call sequence, and the precise
definition of the functions passed.
Can anyone help?
2006 Jun 06
1
Problems using quadprog for solving quadratic programming problem
Hi,
I'm using the package quadprog to solve the following quadratic programming problem.
I want to minimize the function
(b_1-b_2)^2+(b_3-b_4)^2
by the following constraints b_i, i=1,...,4:
b_1+b_3=1
b_2+b_4=1
0.1<=b_1<=0.2
0.2<=b_2<=0.4
0.8<=b_3<=0.9
0.6<=b_4<=0.8
In my opinion the solution should be b_1=b_2=0.2 und b_3=b_4=0.8.
Unfortunately R doesn't find
2006 Sep 19
0
unsupported sector size 4096 on /dev/sda
Hi list,
I just received a storage array and created a 3TB LUN with a
block/sector size on the disks of 4096. When I boot the our centos-4.4
box attached to this array I get the "unsupported sector size 4096" message:
Remounting root filesystem in read-write mode: [ OK ]
ERROR: unsupported sector size 4096 on /dev/sda.
No RAID disks
Setting up Logical Volume Management: [ OK ]
2008 Jul 15
1
manipulating (extracting) data from distance matrices
Hi all,
Does anyone have any tips for extracting chunks of data from a distance matrix?
For instance, if one was interested in only a subset of distance
comparisons (i.e., that of rows 4 thru 6, and no others), is there a
simple way to pull that data out?
>From some playing around with an example (below), I've been able to
figure out that a distance matrix in R is stored as a single
2011 Dec 12
0
Rsolnp package: warning messages
Dear,
I am using the solnp command (package Rsolnp) for a problem with
equality and inequality constraints.
I am not getting convergence for my problem but apart that I get 1
warning per iteration saying: ?In cbind(temp, funv) : number of rows
of result is not a multiple of vector length (arg 1)?.
I checked for equality and inequality functions and they seem fine to
me. Where this
2003 Jun 02
1
Help with factorized argument in solve.QP
Hi
I'm having problems getting the "factorized" argument in solve.QP (part
of the quadprog library) to work as expected. The helpfile states that
when the factorized argument is set to TRUE, then the function requires
the inverse of a square-root factor of the Hessian instead of the
Hessian itself. That is, when factorized=TRUE, the Dmat argument should
be a matrix R^(-1), such
2010 Feb 19
1
Quadprog help
I am having some problems using Quadprog in R. I want to minimize the
objective function :
200*P1-1/2*10*P1^2+100*P2-1/2*5*P2^2+160*P3-1/2*8*P3^2+50*P4-1/2*10*P4^2+50*P
5-1/2*20*P5^2+50*P6-1/2*10*P6^2,
Subject to a set of constrains including not only the variables P1, P2, P3,
P4, P5, P6, but also the variables X1, X2,X3,X4,X5,X6,X7,X8,X9.
As the set of variables X's are not
2007 Jul 02
0
relocation error in grDevices.so
(Warning: I'm not an R guy. I'm a Python guy trying to get the
R-Python interface working again after some upgrades.)
I'm trying to upgrade our numpy/rpy/matplotlib environment (Solaris
10/Intel, Python 2.4). In the process I found I needed to rebuild R
(2.1.1) because it was compiled with gcc 3.3.2 and we have since
migrated to gcc 3.4.1. I'm using this configure setup:
2012 Apr 17
1
What functions are available for Quadratically Constrained Quadratic Programming in R?
Hi all,
Could anybody please point me to the solver function in R on QCQP?
The quadprog package seems to be only able to handle the linear
constraints...
Thank you!
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2010 Dec 04
1
Quadratic programming with semi-definite matrix
Hello.
I'm trying to solve a quadratic programming problem of the form min
||Hx - y||^2 s.t. x >= 0 and x <= t using solve.QP in the quadprog
package but I'm having problems with Dmat not being positive definite,
which is kinda okay since I expect it to be numerically semi-definite
in most cases. As far as I'm aware the problem arises because the
Goldfarb and Idnani method first
2007 Dec 22
1
using solve.qp without a quadratic term
I was playing around with a simple example using solve.qp ( function is in the quadprog package ) and the code is below. ( I'm not even sure there if there is a reasonable solution because I made the problem up ).
But, when I try to use solve.QP to solve it, I get the error that D in the quadratic function is not positive
definite. This is because Dmat is zero
because I don't have a
2002 Jun 27
1
Building from a source-code library under windows
Dear All,
I have a pair of .cpp and .def file can be compiled using VC++ and works
perfectly well in S-PLUS.
I wanted to do the same for R; so I followed the guidline given in "Building
from a source-code library under Windows" as much as possible and manage to
compile them using VC++ and call it from R. But it gives different answer
from the one called from S-Plus.
I know that I did
2007 Sep 03
2
The quadprog package
Hi everybody,
I'm using Windows XP Prof, R 2.5.1 and a Pentium 4 Processor.
Now, I want to solve a quadratic optimization program (Portfolio Selection) with the quadprog package
I want to minimize (\omega'%*%\Sigma%*%\omega)
Subject to
(1) \iota' %*% \omega = 1 (full investment)
(2) R'%*%\omega = \mu (predefined expectation value)
(3) \omega \ge 0 (no short sales).
Where
2007 Mar 12
2
distance metrics
Hello:
Does anyone know if there exists a package that handles methods for [ for
dist objects?
I would like to access a dist object using matrix notation
e.g.
dMat = dist(x)
dMat[i,j]
Thanks in advance to anyone who can point me in the right direction.
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2009 Feb 16
2
solve.QP with box and equality constraints
Dear list,
I am trying to follow an example that estimates a 2x2 markov transition
matrix across several periods from aggregate data using restricted least
squares.
I seem to be making headway using solve.QP(quadprog) as the unrestricted
solution matches the example I am following, and I can specify simple
equality and inequality constraints. However, I cannot correctly specify a
constraint
2006 Nov 08
0
Solving a maximization problem using QUADPROD
Hello,
here is an example from the manual. How to turn this minimization
problem into maximization problem, i.e. -(0 5 0) %*% b - 1/2 b^T b?
# Assume we want to minimize: -(0 5 0) %*% b + 1/2 b^T b
# under the constraints: A^T b >= b0
# with b0 = (-8,2,0)^T
# and (-4 2 0)
# A = (-3 1 -2)
# ( 0 0 1)
# we can use solve.QP.compact as follows:
#
library(quadprog)
Dmat <- matrix(0,3,3)
2010 Jan 21
0
fPortfolio prob: maxreturnPortfolio() returns Na/NaN/Inf error
Hi - First posting here.
I am using fPortfolio to try and optimize a simple portfolio consisting of 5 daily return series. I want to maximize return subject to setTargetRisk(myspec)=0.08 using only constraints="LongOnly"
I can run feasiblePortfolio() using a spec file that specifies the weights, and it works fine.
When I run maxreturnPortfolio(mydata,myspec,"LongOnly"),
2008 May 08
0
solve.QP() error
I got following error while I was using solve.QP() in my problem:
> Dmat = matrix(c(0.0001741, 0.0001280, 0.0001280, 0.0002570), nrow=2)
> dvec = t(c(0,0))
> Amat = matrix(c(-1,1,0,-1,0, 1,0,1,0,-1), nrow=5)
> bvec = c(-20000, 1, 1, -50000, -50000)
> solve.QP(Dmat,dvec,Amat,bvec=bvec)
Error in solve.QP(Dmat, dvec, Amat, bvec = bvec) :
Amat and dvec are incompatible!
>
2004 Sep 01
0
not positive definite D matrix in quadprog
Hello to everybody,
I have a quadratic programming problem that I am trying to solve by various
methods. One of them is to use the quadprog package in R.
When I check positive definiteness of the D matrix, I get that one of the
eigenvalues is negative of order 10^(-8). All the others are positive. When
I set this particular eigenvalue to 0.0 and I recheck the eigenvalues in R,
the last
2010 Dec 06
1
use pcls to solve least square fitting with constraints
Hi,
I have a least square fitting problem with linear inequality
constraints. pcls seems capable of solving it so I tried it,
unfortunately, it is stuck with the following error:
> M <- list()
> M$y = Dmat[,1]
> M$X = Cmat
> M$Ain = as.matrix(Amat)
> M$bin = rep(0, dim(Amat)[1])
> M$p=qr.solve(as.matrix(Cmat), Dmat[,1])
> M$w = rep(1, length(M$y))
> M$C = matrix(0,0,0)