# search for: amat

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2005 Jan 13
1
how to use solve.QP
...bLo=0 <= w <= 1=bUp Cov <- var(S) mu <- apply(S, 2, mean) mu.target <- 0.1 #subject to cLo <= A <= cUp and bLo=0 <= b <= 1=bUp A <- rbind(1,mu) cLo <- c(1, mu.target) cUp <- c(1, Inf) bLo <- rep(0, n) bUp <- rep(1, n) #I convert [cLo <= A <= cUp] to Amat >= bvec and [bLo=0 <= w #<=1=bUp] to Amat <- rbind(-1, 1, -mu, mu) dim(bLo) <- c(n,1) dim(bUp) <- c(n,1) bvec <- rbind(-1, 1, mu.target, Inf, bLo, -bUp) zMat <- matrix(rep(0,2*n*n),ncol=n, nrow=n*2) zMat[,1] <- c(rep(1,n), rep(-1,n)) Amat <- t(rbind(Amat, zMat)) #So I...
2003 Jun 02
1
Help with factorized argument in solve.QP
...en factorized=TRUE, the Dmat argument should be a matrix R^(-1), such that the Hessian of the objective function is t(R) %*% R. I modified the example in the helpfile slightly to test this out: R = matrix(rnorm(9),3,3) R.inv = solve(R) Dmat = t(R) %*% R dvec = c(0,5,0) Amat = matrix(c(-4,-3,0,2,1,0,0,-2,1),3,3) bvec = c(-8,2,0) x1 = solve.QP(Dmat=Dmat, dvec=dvec, Amat=Amat, bvec=bvec, factorized=FALSE) x2 = solve.QP(Dmat=R.inv, dvec=dvec, Amat=Amat, bvec=bvec, factorized=TRUE) print(x1\$solution) print(x2\$solution) I would have expected that...
2009 Feb 16
2
solve.QP with box and equality constraints
...l 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 matrix (Amat) with box constraints per cell and equality constraints that span multiple cells. Namely the solution matrix I am aiming for needs to respect the following conditions: - each row must sum to 1 - each cell must >= 0 - each cell must <= 1 I understand the general principle of creating bo...
2011 May 11
1
Problem with constrained optimization with maxBFGS
...ar all, I need to maximize the v: v= D' W D D is a column vector ( n , 1) W is a given matrix (n, n) subject to: sum D= 1 (BTW, n is less than 300) I´ve tried to use maxBFGS, as follows: ##################################### objectiveFunction<-function(x) { return(t(D)%*%W%*%D) } Amat<-diag(nrow(D)) Amat<-rbind((rep(-1, nrow(D))), Amat) bvec<-matrix( c(0), nrow(D)+1, 1) bvec[1,1]<-c(1) startValues=rep(1/nrow(D),nrow(D)) #Istart value is homogeneous distribution res <<- maxBFGS(objectiveFunction, start=startValues, constraints=list(ineqA=Amat, ineqB=bvec)) #...
2005 Nov 29
1
...9;m having difficulty figuring out how to implement the following set of constraints in Quadprog: 1). x1+x2+x3+x4=a1 2). x1+x2+x5+x6=a2 3). x1+x3+x5+x7=a3 4). x1+x2=b1 5). x1+x3=b2 6). x1+x5=b3 for the problem: MIN (x1-c1)2+(x2-c2)2+...+(x8-c8)2. As far a I understand, "solve.QP(Dmat, dvec, Amat, bvec, meq=0, factorized=FALSE)" reads contraints using an element-by-element multiplication, i.e. Amat'*x, not using the matrix-product, i.e. Amat'%*%x, required for the sums on the left-hand-side of 1-6). I would very much appreciate a suggestion on this problem. Thank you, Sergue...
2012 Mar 16
1
...act Berwin A. Turlach <Berwin.Turlach at gmail.com> (maintainer for quadprog package) a week ago, with no success. ############################################################## load(file='quadprog.Rdata') # solve QP using quadprog require(quadprog) sol = solve.QP(Dmat, dvec, Amat, bvec, meq) x = sol\$solution check = x %*% Amat - bvec # for some reason last equality constraint is violated round(check[1:meq], 4) # solve QP using kernlab require(kernlab) n = nrow(Amat) sv = ipop(c = matrix(dvec), H = Dmat, A = t(Amat[,1:meq]), b = bvec[1:meq], l = rep(-1000,...
2005 Dec 14
6
mysql connection problems
Hi hi i have a problem trying to connect to the mysql database when I do a rake it says: Access denied for user: ''@localhost'' to database '''' My database.yml file is fine Any ideas why this is happening -- Posted via http://www.ruby-forum.com/.
2010 Dec 04
1
...re there any (fast) packages that allows me to do QP with (large) semidefinite matrices? Example: t <- 100 y <- signalConvNoisy[1,] D <- crossprod(H,H) d <- crossprod(H,y) A <- cbind(rep(-1, nrow(H)), diag(ncol(H))) b0 <- c(t, rep(0, ncol(H))) sol <- solve.QP(Dmat=D, dvec = d, Amat = A, bvec = b0)\$solution Error in solve.QP(Dmat = D, dvec = d, Amat = A, bvec = b0) : matrix D in quadratic function is not positive definite! Thanks in advance, Andreas Jensen
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) > p<-pcls(M) Error in t(qr.qty(qra, t(M\$X))[(j + 1):k, ]) : error in evaluating the argument 'x' in selecting a method for function 't' Af...
2004 Sep 01
0
not positive definite D matrix in quadprog
...8.232288e+01 1.961199e+00 5.976441e-01 [6] 2.810968e-01 1.253140e-09 1.428534e-12 Dmat <- D.vectors%*%D.quad%*%ginv(D.vectors) dvec <- -c(-2910.533769,-2905.609008,-3012.223863,-16274.97455,-17222.46423,-18380.6 391,-357.8878464,-379.6371849) #this ensures that coefficients are positive: Amat <- matrix(0,8,8) diag(Amat) <- 1 bvec <- rep(0,8) #it says D is not positive definite ... solve.QP(Dmat,dvec,Amat,bvec=bvec) Error in solve.QP(Dmat, dvec, Amat, bvec = bvec) : matrix D in quadratic function is not positive definite! ------------------------------------------...
2006 Feb 01
1
output hessian matrix in constrOptim
Hi, Is there any way to get the hessian matrix from the "constrOptim" function without supplying gradient function? Thanks. --------------------------------- Bring words and photos together (easily) with [[alternative HTML version deleted]]
2012 Apr 26
0
Problem with constrOptim when hitting boundary
...and so I don't know if it is always a pathological example like this. This is just an example I found where I know it failed. Thanks for your help, Elizabeth Purdom Example data: > x <- c(12, 17, 9, 15, 15, 9, 15, 11, 12, 7) > m <- c(12,17, 9, 15, 15, 9, 15, 11, 12, 7) > AMat<-matrix(c(1,0,0,1),byrow=T,nrow=2,ncol=2) > eventTiming(x, m, history = AMat) Error message: Error in optim(theta.old, fun, gradient, control = control, method = method, : initial value in 'vmmin' is not finite Enter a frame number, or 0 to exit 1: eventTiming(x, m, history...
2006 Nov 08
0
Solving a maximization problem using QUADPROD
...) %*% 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) diag(Dmat) <- 1 dvec <- c(0,5,0) Aind <- rbind(c(2,2,2),c(1,1,2),c(2,2,3)) Amat <- rbind(c(-4,2,-2),c(-3,1,1)) bvec <- c(-8,2,0) solve.QP.compact(Dmat,dvec,Amat,Aind,bvec=bvec) Thanks, Serguei
2007 Jan 12
0
Linear Optimization
...ible, even though the initial value provided is feasible. I am using the following code. ------------------Code---------------- fr<-function(x){ x1=x[1] x2=x[2] x3=x[3] x4=x[4] x5=x[5] x6=x[6] x7=x[7] x8=x[8] x9=x[9] x10=x[10] 2*x1+3*x2+4*x3-6*x4+x5+3*x8-4*x9+x10} x0<-c(0,0,0,0,0,0,0,0,1.4,0) Amat<- matrix(c(1,3,4,2,-2,-3,2,-1,0,6,2,4,1,-2,5,3,0,-3,-4,0,5,6,1,1,0,1,3,-1,-1,1,0,0,5,0,5,0,1,2,2,-2,1,4,-6,-3,-2,-1,5,2,1,0,-1,0,0,0,0,0,0,0,0,0,0,-1,0,0,0,0,0,0,0,0,0,0,-1,0,0,0,0,0,0,0,0,0,0,-1,0,0,0,0,0,0,0,0,0,0,-1,0,0,0,0,0,0,0,0,0,0,-1,0,0,0,0,0,0,0,0,0,0,-1,0,0,0,0,0,0,0,0,0,0,-1,0,0,0,0,...
2014 Jun 19
1
Restrict a SVAR A-Model on Matrix A and Variance-Covariance-Matrix
...6 more restrictions. So in total I would have 4+6+6=16 restrictions. The SVAR would be just identified. My problem is that I don't know how to implement this Variance-Covariance-Matrix within R and {vars}. My Code so far is: # Prediction SVAR - A-Model (B-Matrix = NULL) # restrictions: # 1) Amat = A_Matrix # 2) ???? VAR.est <- VAR(data.ts, p = 4, type = "none") SVAR.A.est <- SVAR(x=VAR.est, estmethod = "direct", Amat = A_Matrix , Bmat = NULL, hessian = TRUE, lrtest = TRUE) #--------------------------------------------------------------------...
2006 Apr 13
1
Does anyone know how to read the user agent from a controller ? Thanks -- Posted via http://www.ruby-forum.com/.
2007 Jul 11
0