R help - Oct 2012 - Which package/function for solving weighted linear least squares with inequality and equality constraints?

Dear All,

Which package/function could i use to solve following linear least square
problem?
A over determined system of linear equations is given. The nnls-function may
would be a possibility  BUT:
The solving is constrained with 
a inequality that all unknowns are >= 0 
and a equality that the sum of all unknowns is 1
The influence of the equations according to the solving process is weighted
too.

llAx-bll2 * weight
with xi >=0 and sum(x)=1

I?m pleased about every suggestion.

Thank you and best regards
Thomas 




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On 19-10-2012, at 20:00, Thomas Schu wrote:
> Dear All,
> 
> Which package/function could i use to solve following linear least square
> problem?
> A over determined system of linear equations is given. The nnls-function
may
> would be a possibility  BUT:
> The solving is constrained with 
> a inequality that all unknowns are >= 0 
> and a equality that the sum of all unknowns is 1
> The influence of the equations according to the solving process is weighted
> too.
> 
> llAx-bll2 * weight
> with xi >=0 and sum(x)=1
> 
> I?m pleased about every suggestion.
Just guessing.

Go to the Optimization task view on the Task Views page on  CRAN:
http://cran.r-project.org/web/views/

Have a look at package limSolve (Quadratic Programming). From the description I
gather that it may do what you want.

Berend

Dear Berend,

Thank you very much for proposing the limSolve-package!
The lsei function of the package is exactly what I was looking for.

Best regards
Thomas



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