Displaying 1 result from an estimated 1 matches for "signalconvnoisy".
2010 Dec 04
1
Quadratic programming with semi-definite matrix
...inite
in most cases. As far as I'm aware the problem arises because the
Goldfarb and Idnani method first solves the unconstrained problem
requiring a positive definite matrix. Are 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 pos...