search for: lagrange

Displaying 20 results from an estimated 20 matches for "lagrange".

2004 Oct 08
0
constrained opt with lagrange multiplier example?
I'm curious to find out if there is an example of R code for optimization of two variable function, with contraints, using lagrange multiplier (using optim/nlm?). I have a problem that contains one discrete variable, but need a simple problem/example to start with. I haven't been able to find any examples and thought I should ask here before I plunged into writing a few miles of R code. Thanks, Jeff. -- Jeff D....
2011 May 11
2
New code in R-devel: Rao score test for glm.
I have just committed some code to the r-devel branch to implement the Rao efficient score test. This is asymptotically equivalent to the LRT, but there is some indication that it might have better properties in smaller samples since it is based more directly on the distribution of the sufficient sums under the null hypothesis (e.g., if you have a divergent fit to the model under the alternative,
2008 Feb 02
1
ARCH LM test for univariant time series
Hi, Does anyone know if R has a Lagrange multiplier (LM) test for ARCH effects for univariant time series? Thanks! -- Tom [[alternative HTML version deleted]]
2007 Apr 08
1
How do I back transforme ordinary log-krigged prdiction values?
I have a question to everybody. After log10 transfprmation, I have done ordinary kriging in gstat in R? I need to back trnasform the prediction values to orgiginal scale. How do I do this in gstat in R? Thanks Zia -- Zia Uddin Ahmed 915 Brad Field Hall Department of Crop and Soil Cornell University Ithaca NY 14850 USA
2001 Jan 22
1
Optimization with linear constraints
Hello I''d like to know if there''s a way to minimize a non linear function in R subject to some linear restrictions Ax=b I have tried to use optim() but it doesn''t seem to be able to do it. Or, by Lagrange multipliers, solve some non linear equations simultaneously. Anyone can help? Thanks -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help&q...
2009 Jul 03
2
Error using the Rdonlp2‏ Package
Dear experts, I'm attempting to solve a constrained optimization problem using the Rdonlp2 package. I created a Lagrange function (L=f(x)-lambda(g(x)-c)), where x is a vector of 16 parameters. This is what I'm using as objective function in the code below. In addition, I set bounds on these parameters (par.u and par.l). When I run the code, I get the error message shown below. Any idea why or what does it mean?...
2009 Jan 11
4
How to get solution of following polynomial?
Hi, I want find all roots for the following polynomial : a <- c(-0.07, 0.17); b <- c(1, -4); cc <- matrix(c(0.24, 0.00, -0.08, -0.31), 2); d <- matrix(c(0, 0, -0.13, -0.37), 2); e <- matrix(c(0.2, 0, -0.06, -0.34), 2) A1 <- diag(2) + a %*% t(b) + cc; A2 <- -cc + d; A3 <- -d + e; A4 <- -e fn <- function(z) { y <- diag(2) - A1*z - A2*z^2 - A3*z^3 - A4*z^4
2018 May 06
1
adding overall constraint in optim()
Hi Michael, A few comments 1. To add the constraint sum(wgt.vect=1) you would use the method of Lagrange multipliers. What this means is that in addition to the w_i (the components of the weight variables) you would add an additional variable, call it lambda. Then you would modify your optim.fun() function to add the term lambda * (sum(wgt.vect - 1) 2. Are you sure that you have defined Mo.ve...
2008 Feb 13
0
FinTS_0.2-7
Hi, All: FinTS version 0.2-7 is now available on CRAN. This version adds two new functions: * ArchTest to compute the Engle (1982) Lagrange multiplier test for conditional heteroscedasticity, discussed on pp. 101-102 of Tsay, with examples on those pages worked in the R script in "~R\library\FinTS\scripts\ch03.R", where "~R" is your local R installation directory. The code for this was kindly provided by Bernh...
2003 Oct 31
1
help with constrOptim function
Hello. I had previously posted a question concerning the optimization of a nonlinear function conditional on equality constraints. I was pointed towards the contrOptim function. However, I do not understand the syntax of this function with respect to specifying the constraints and so I don’t know if it is what I need. The command is: constrOptim(theta, f, grad,ui,ci,…). “theta” is the
2008 Feb 13
0
FinTS_0.2-7
Hi, All: FinTS version 0.2-7 is now available on CRAN. This version adds two new functions: * ArchTest to compute the Engle (1982) Lagrange multiplier test for conditional heteroscedasticity, discussed on pp. 101-102 of Tsay, with examples on those pages worked in the R script in "~R\library\FinTS\scripts\ch03.R", where "~R" is your local R installation directory. The code for this was kindly provided by Bernh...
2010 Sep 17
1
Nonlinear programming problem
Hello useRs, I'm using the command "solnp" in package "Rsolnp" to solve a general nonlinear programming problem. But I got an error that " the leading minor of order 15 is not positive definite ". Can anybody tell what may cause this error? Does it have something to do with the starting values? Thanks a lot!!! Xiaoxi [[alternative HTML version
2012 Mar 07
0
sparsenet: a new package for sparse model selection
...inate optimization problems are convex, making it ideal for coordinate descent. The package fits the regularization surface for each parameter - a surface over the two-dimensional space of tuning parameters. The concavity parameter gamma indexes the member of the family, and lambda is the usual Lagrange penalty parameter which determines the strength of the penalty. Sparsenet is extremely fast. For example, with 10K variables and 1K samples, the entire surface with 10 values of gamma and 50 values of lambda takes under a second on a Macbook Pro. The package includes functions for fitting, plotti...
2012 Mar 07
0
sparsenet: a new package for sparse model selection
...inate optimization problems are convex, making it ideal for coordinate descent. The package fits the regularization surface for each parameter - a surface over the two-dimensional space of tuning parameters. The concavity parameter gamma indexes the member of the family, and lambda is the usual Lagrange penalty parameter which determines the strength of the penalty. Sparsenet is extremely fast. For example, with 10K variables and 1K samples, the entire surface with 10 values of gamma and 50 values of lambda takes under a second on a Macbook Pro. The package includes functions for fitting, plotti...
2013 Jan 30
0
Warning: Spatial weights matrix not row standardized
Hi, R users, I am doing Lagrange Multiplier Test Statistics for Spatial Autocorrelation with "spdep" and got this warning message: "Spatial weights matrix not row standardized". It is a warning, not an error. I am wondering if this is a problem. Thanks! Gary [[alternative HTML version deleted]]
2005 Nov 29
1
Constraints in Quadprog
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
2010 Feb 04
1
plm issues: error for "within" or "random", but not for "pooling"
...0.0152 7.35 2.2e-13 *** --- Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 Total Sum of Squares: 28100 Residual Sum of Squares: 27900 F-statistic: 53.954 on 1 and 13187 DF, p-value: 2.17e-13 > plmtest(x, "individual") Lagrange Multiplier Test - (Honda) data: ibes1y.meanest ~ employee_kld normal = 1675.7, p-value < 2.2e-16 alternative hypothesis: significant effects ##fitting a within or random model fails > x <- plm(ibes1y.meanest ~ employee_kld, ibes.kld.exp.p[x.subs , ], model="within") Error in...
2018 May 04
0
adding overall constraint in optim()
On Thu, May 3, 2018 at 2:03 PM, Michael Ashton <m.ashton at enduringinvestments.com> wrote: > Thanks Bert. But everyone on that forum wants to use finance tools rather than general optimization stuff! And I am not optimizing a traditional Markowitz mean-variance problem. Plus, smarter people here. :-) > I'm very confused by these statements. Most of the "finance tools"
2018 May 03
2
adding overall constraint in optim()
Thanks Bert. But everyone on that forum wants to use finance tools rather than general optimization stuff! And I am not optimizing a traditional Markowitz mean-variance problem. Plus, smarter people here. :-) > On May 3, 2018, at 3:01 PM, Bert Gunter <bgunter.4567 at gmail.com> wrote: > > You can't -- at least as I read the docs for ?optim (but I'm pretty > ignorant
2000 Aug 12
1
Nonlinear regression question
Dear R users I recently migrated from Statistica/SigmaPlot (Windows) to R (Linux), so please excuse if this may sound 'basic'. When running a nonlinear regression (V = Vmax * conc / (Ks + conc), i.e. Michaelis-Menten) on SigmaPlot, I get the output listed below: >>>Begin SigmaPlot Output<<< R = 0.94860969 Rsqr = 0.89986035 Adj Rsqr = 0.89458984 Standard Error