Displaying 20 results from an estimated 300 matches similar to: "Constraints in Quadprog"

2009 Feb 16

2

solve.QP with box and equality constraints

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

2005 Jan 13

1

how to use solve.QP

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

2003 Jun 02

1

Help with factorized argument in solve.QP

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

2010 Dec 04

1

Quadratic programming with semi-definite matrix

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

2012 Mar 16

1

quadprog error?

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

2004 Sep 01

0

not positive definite D matrix in quadprog

Hello to everybody,
I have a quadratic programming problem that I am trying to solve by various
methods. One of them is to use the quadprog package in R.
When I check positive definiteness of the D matrix, I get that one of the
eigenvalues is negative of order 10^(-8). All the others are positive. When
I set this particular eigenvalue to 0.0 and I recheck the eigenvalues in R,
the last

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)

2006 Nov 08

0

Solving a maximization problem using QUADPROD

Hello,
here is an example from the manual. How to turn this minimization
problem into maximization problem, i.e. -(0 5 0) %*% b - 1/2 b^T b?
# Assume we want to minimize: -(0 5 0) %*% 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)

2007 Jul 11

0

Some questions about quadratic programming (QP)

Dear R Users ,
As a beginner in QP, I'm trying to solve a Support Vector Machine problem by a QP. In particulare I am using the quadprog package.
My questions are here:
1- In the document for the package (The quadprog Package), the inequality constraint is mentioned with >= , however in a standard QP, this usaully is written with <= . This constraint should be multiplied by a

2011 May 11

1

Problem with constrained optimization with maxBFGS

Dear 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,

2003 Aug 24

1

regression constraints (again)

Im trying to do regressions with constraints that the weights
are all >=0 and sum(weights) = 1. I've read the archive and have
set the problem up with solve.QP and just the non-negativity constraints
along the lines of:
y as the data vector
X as the design matrix
D <- t(X) %*% X
d <- t(t(y) %*% X)
A <- diag(ncol(X))
b <- rep(0,ncol(X))
fit <-

2011 May 30

0

definition of meq at spg

For my problem I have
#Constraints
b11<-0
b21<-0
b12<-0
b22<-0
n1>=0
n2>=0
n1<=1
n1<=1
n1+n2=1
In order to use spg I set
Amat<-matrix(rbind(c(rep(0,10)),c(rep(0,10)),c(rep(0,2),1,rep(0,7)),
c(rep(0,3),1,rep(0,6)),c(rep(0,10)),c(rep(0,10)),
c(rep(0,6),1,rep(0,3)),c(rep(0,7),1,rep(0,2)),
c(rep(0,8),1,rep(0,1)),c(rep(0,9),1,rep(0,0)),

2008 Dec 24

1

Implementing a linear restriction in lm()

Dear All!
I want to test a coeffcient restriction beta=1 in a univariate model lm
(y~x). Entering
lm((y-x)~1) does not help since anova test requires the same dependent
variable. What is the right way to proceed?
Thank you for your help and marry xmas,
Serguei Kaniovski
________________________________________
Austrian Institute of Economic Research (WIFO)

2007 Feb 06

1

Questions on counts by case

Hi all,
for the data below I would like to
1. generate a dummy variable for each group "gr" of the same composition by
people, then save each portion in a separate file,
2. compute the frequency of "1"'s in "x" for each person by group
"gr". So, "mike" will have freq=2/3, as he has two "1" and one "0" in 3
groups.

2009 Apr 18

5

Dummy (factor) based on a pair of variables

Dear All!
my data is on pairs of countries, i and j, e.g.:
y,i,j
1,AUT,BEL
2,AUT,GER
3,BEL,GER
I would like to create a dummy (indicator) variable for use in regression
(using factor?), such that it takes the value of 1 if the country is in the
pair (i.e. EITHER an i-country OR an j-country).
Thank you for your help,
Serguei
________________________________________
Austrian Institute of

2006 Apr 26

1

MacOSX package install problem: pkgs quadprog & tseries

I upgraded to R-2.2.1 on two PPC G5 computers today. Further I want
to work with the tseries package for the first time.
As root with
R CMD INSTALL tseries_0.10-0.tar.gz
I get the following
gcc-3.3 -bundle -flat_namespace -undefined suppress -L/usr/local/lib -
o tseries.so arma.o bdstest.o boot.o dsumsl.o garch.o ppsum.o
tsutils.o -framework vecLib

2002 May 30

0

Followup on quadprog installation

Oops... just realized there were a couple mistakes in the question
I posted regarding installation of quadprog:
1) The gcc command line is shown wrapped to the next line.
Please ignore this.
2) In addition to adding a -Lc:/apps/rw1050/bin option to the
command line, I also added -lRblas.
Thanks,
-jh-
=================================
John Heumann, Agilent

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/.

2018 Mar 05

2

Interpret List Label as Date from Quantmod getOptionChain

Hi Dirk,
Thanks for your note.
I understand that expiry dates are the dates that the option expires, so I don't think that I am confused about that (although the upper limits of one's confusion is difficult to accurately estimate).
My lack of clarity come from treating those "dates" as actual dates as opposed to strings, which one could reasonably interpret them to be from

2003 Apr 03

2

Matrix eigenvectors in R and MatLab

Dear R-listers
Is there anyone who knows why I get different eigenvectors when I run
MatLab and R? I run both programs in Windows Me. Can I make R to produce
the same vectors as MatLab?
#R Matrix
PA9900<-c(11/24 ,10/53 ,0/1 ,0/1 ,29/43 ,1/24 ,27/53 ,0/1 ,0/1 ,13/43
,14/24 ,178/53 ,146/244 ,17/23 ,15/43 ,2/24 ,4/53 ,0/1