R help - Sep 2011 - Regression coefficient constraints

Hi Guys,
Does anyone know how I could constrain my regression coefficients so that they
are positive and add up to one? Any help will be greatly appreciated.
Kind Regards,
Andre 		 	   		  
	[[alternative HTML version deleted]]

From: andresago1@hotmail.com
To: r-help@r-project.org
Subject: Regression coefficient constraints
Date: Sun, 4 Sep 2011 15:50:09 +1000








Hi Guys,
Does anyone know how I could constrain my regression coefficients so that they
are positive and add up to one? Any help will be greatly appreciated.
Kind Regards,
Andre 		 	   		   		 	   		  
	[[alternative HTML version deleted]]

One option is to reparameterize to an unconstrained problem using the 
transformation:

exp(betas_i) / sum(exp(betas_i)), with e.g., beta_1 = 0,

and then use optim() to maximize with respect to betas.

I hope it helps.

Best,
Dimitris



On 9/4/2011 7:50 AM, andre bedon wrote:
>
> Hi Guys,
> Does anyone know how I could constrain my regression coefficients so that
they are positive and add up to one? Any help will be greatly appreciated.
> Kind Regards,
> Andre 		 	   		
> 	[[alternative HTML version deleted]]
>
> ______________________________________________
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> PLEASE do read the posting guide
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-- 
Dimitris Rizopoulos
Assistant Professor
Department of Biostatistics
Erasmus University Medical Center

Address: PO Box 2040, 3000 CA Rotterdam, the Netherlands
Tel: +31/(0)10/7043478
Fax: +31/(0)10/7043014
Web: http://www.erasmusmc.nl/biostatistiek/