similar to: Constrained Regression

Dear list members, I am trying to get information on how to fit a linear regression with constrained parameters. Specifically, I have 8 predictors , their coeffiecients should all be non-negative and add up to 1. I understand it is a quadratic programming problem but I have no experience in the subject. I searched the archives but the results were inconclusive. Could someone provide suggestions

Hi everybody, I'm using Windows XP Prof, R 2.5.1 and a Pentium 4 Processor. Now, I want to solve a quadratic optimization program (Portfolio Selection) with the quadprog package I want to minimize (\omega'%*%\Sigma%*%\omega) Subject to (1) \iota' %*% \omega = 1 (full investment) (2) R'%*%\omega = \mu (predefined expectation value) (3) \omega \ge 0 (no short sales). Where

At the risk of ridicule for my deficient linear algebra skills, I ask for help using the solve.QP function to do portfolio optimization. I am trying to following a textbook example and need help converting the problem into the format required by solve.QP. Below is my sample code if anyone is willing to go through it. This problem will not solve because it is not set up properly. I hope I

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

Hi, I'm using the package quadprog to solve the following quadratic programming problem. I want to minimize the function (b_1-b_2)^2+(b_3-b_4)^2 by the following constraints b_i, i=1,...,4: b_1+b_3=1 b_2+b_4=1 0.1<=b_1<=0.2 0.2<=b_2<=0.4 0.8<=b_3<=0.9 0.6<=b_4<=0.8 In my opinion the solution should be b_1=b_2=0.2 und b_3=b_4=0.8. Unfortunately R doesn't find

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 list: This is my first time to post my question on the list. Thanks for your help. I am solving a quadratic programming using R. Here is my question: w = arg min 0.5*w'Mw - w'N s. t. sum(w) = 1; w>0 note: w is weight vector, each w_i must >=0, and the sum of w =1. Here is my R code: A <-matrix(c(2.26,1.26,1.12,1.12,2.27,1.13,1.12,1.13,2.2),3,3); B <-

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

I have a set of data for US t-bill returns and US stock returns frm 1980-2012. I am trying to bootstrap the data and obtain the minimum variance portfolio and repeat this portfolio 1000 times. However I am unable to get the correct code function for the minimum variance portfolio. When I tried to enter Opt(OriData+1, 1, 5, 0), I get "error:subscript out of bounds" Please help!

Hi I'm having problems getting the "factorized" argument in solve.QP (part of the quadprog library) to work as expected. The helpfile states that when the factorized argument is set to TRUE, then the function requires the inverse of a square-root factor of the Hessian instead of the Hessian itself. That is, when factorized=TRUE, the Dmat argument should be a matrix R^(-1), such

I am having some problems using Quadprog in R. I want to minimize the objective function : 200*P1-1/2*10*P1^2+100*P2-1/2*5*P2^2+160*P3-1/2*8*P3^2+50*P4-1/2*10*P4^2+50*P 5-1/2*20*P5^2+50*P6-1/2*10*P6^2, Subject to a set of constrains including not only the variables P1, P2, P3, P4, P5, P6, but also the variables X1, X2,X3,X4,X5,X6,X7,X8,X9. As the set of variables X's are not

Hello. I'm trying to solve a quadratic programming problem of the form min ||Hx - y||^2 s.t. x >= 0 and x <= t using solve.QP in the quadprog package but I'm having problems with Dmat not being positive definite, which is kinda okay since I expect it to be numerically semi-definite in most cases. As far as I'm aware the problem arises because the Goldfarb and Idnani method first

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

I was playing around with a simple example using solve.qp ( function is in the quadprog package ) and the code is below. ( I'm not even sure there if there is a reasonable solution because I made the problem up ). But, when I try to use solve.QP to solve it, I get the error that D in the quadratic function is not positive definite. This is because Dmat is zero because I don't have a

Hello everyone, I am trying to estimate the parameter b. I have Y and X1 which I know and they are both random. However, I also have X2 which I don't know and is also random. I want to estimat b from the model: Y = b*X1 + ( 1 - b ) * X2 Can anyone offer some suggestions. The values of Y and X1 are both pvalues so they are constrained in (0,1). -- Thanks, Jim. [[alternative HTML version

Hi I'm getting the following errors while using the efficientPortfolio function even though I'm setting the target return to the mean of the TargetReturn I obtain from the portfolio object created by the feasiblePortfolio function. First Error: Error: targetReturn >= min(mu) is not TRUE Second Error: Error in .rquadprog(Dmat = args$Dmat, dvec = args$dvec, Amat = args$Amat, :

Dear R-users, I am working on a problem that I am currently not able to solve efficiently. It is about multiplying one column of a matrix with only a certain number of rows of another matrix. Let me illustrate my problem with an example: n.obs = 800 n.rowsperobs = 300 n.param = 23 Designmat = matrix(rnorm(n.obs*n.rowsperobs*n.param),ncol=n.param) Betamat =

Hi, I'm quite new at R and I haven't found the answer to my question anywhere on the net, so either it is trivial or not documented. So, bare with be. I am using the quadprog package and its solve.QP routine to solve and quadratic programming problem with inconsistent constraints, which obviously doesn't work since the constraint matrix doesn't have full rank. A way to solve this

I forgot to attach the problem data, 'quadprog.Rdata' file, in my prior email. I want to report a following error with quadprog. The solve.QP function finds a solution to the problem below that violates the last equality constraint. I tried to solve the same problem using ipop from kernlab package and get the solution in which all equality constraints are enforced. I also tried an old

Dear All, I have data which contains 14 variables. And I have to regress one of variables on each variable (simple 13 linear regressions) I try to make a loop and store only R-squared colnames(boston) [1] "CRIM" "ZN" "INDUS" "CHAS" "NOX" "RM" "AGE" [8] "DIS" "RAD"