[R] Fwd: Quadratic programming, for loop

Maija Sirkjärvi
Wed, 13 Jun 2018 11:21:55 -0000

Hi!

I have a quadratic optimization problem and I have some difficulties coding
it with R. The math version of the problem looks like this:

min sum(mj -mj^)^2 which goes from 1 to J

st.

mj-1 <= mj - delta1

1/(Qj-1 -Qj-2)(mj-2 -mj-1) <= 1/(Qj -Qj-1 ) (mj-1 - mj) -delta2

And I'm coding it like this:

Dmat <- matrix(0, J,J)
diag(Dmat) <- 1
dvec <- -hsmooth
Aeq <- 0
beq <- 0
Amat <- matrix(0,2*J-3,J)
bvec <- rep(0,2*J-3)

for(j in 1:J)
{
  Amat[j-1,j-1] = -1
  Amat[j-1,j]   = 1
  bvec[j-1]     = Delta1
}

for(j in 2:J)
  {
  Amat[J-1+j-2,j] = -1/ (Q[j] - Q[j-1])
  Amat[J-1+j-2,j-1]= 1/(Q[j] - Q[j-1]) + 1/(Q[j-1] - Q[j-2])
  Amat[J-1+j-2,j-2]= -1/(Q[j-1] - Q[j-2])
  bvec[J-1+j-1]= Delta2
}

solution <- solve.QP(Dmat, dvec, Amat, bvec)


I get errors:
Error in Amat[J - 1 + j - 2, j - 1] <- 1/(Q[j] - Q[j - 1]) + 1/(Q[j -  :
  replacement has length zero

And

Error in solve.QP(Dmat, dvec, Amat, bvec) :
  Amat and dvec are incompatible!

I'm not sure what I'm doing wrong here, and I really could use some help
with this. Thanks in advance!

	[[alternative HTML version deleted]]