search for: iact

Hi there, I have a major problem (major for me that is) with solve.QP and I'm new at this. You see, to solve my quadratic program I need to have the lagrange multipliers after each iteration. Solve.QP gives me the solution, the unconstrained solution aswell as the optimal value. Does anybody have an idea for how I could extract the multipliers? Thanx, Serge "Beatus qui prodest quibus

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

...k, when it reaches the line optim = .Fortran("qpgen2", as.double(Dmat), dvec = as.double(dvec), as.integer(n), as.integer(n), sol = as.double(rep(0, n)), crval = as.double(0), as.double(Amat), as.double(bvec), as.integer(n), as.integer(q), as.integer(meq), iact = as.integer(rep(0, q)), nact = as.integer(0), iter = as.integer(rep(0, 2)), work = as.double(work), ierr = as.integer(0), PACKAGE = "quadprog") ...where I have highlighted the offending argument (8). Now, there is nothing unusual that I can see about my...

...tion, 3. Is the FARIMA procedure known to be unstable at time? Is there a better way (with a different package perhaps) to model long range dependence ? 4. When my model is fitted, i got a warning that it's unable to compute the correlation matrix. Output looks like, Call: fracdiff(x = res.iact.ts, nar = 9, nma = 9, M = 100) *** Warning during fit: unable to compute correlation matrix Coefficients: Estimate Std. Error z value Pr(>|z|) d 4.745e-01 0.000e+00 Inf <2e-16 *** ar1 8.897e-01 0.000e+00 Inf <2e-16 *** ar2 -3.386e-01 0.000e+00 -Inf...

I'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

Hi All, I'm trying to do the following constrained optimization example. Maximize x1*(1-x1) + x2*(1-x2) + x3*(1-x3) s.t. x1 + x2 + x3 = 1 x1 >= 0 and x1 <= 1 x2 >= 0 and x2 <= 1 x3 >= 0 and x3 <= 1 which are the constraints. I'm expecting the answer x1=x2=x3 = 1/3. I tried the "constrOptim" function in R and I'm running into some issues. I first start off