Hi Gabor, Thanks a lot for your help!
I tried to implement your nonlinear least squares solver on my data set. I was just wondering about the argument start. If I would like to force all my coefficients to be inside an interval, let’s say, between 0 and 1, what kind of starting values are normally recommended for the start argument (e.g. Using a 4 factor model with b1, b2, b3 and b4, I tried start = list(b1 = 0.5, b2 = 0.5, b3 = 0.5, b4 = 0.5))? I also tried other starting values ... Hence, the outputs are very sensitive to that start argument? Thanks a lot for your answer in advance! Kind regards, Aljosa Aljosa Aleksandrovic, FRM, CAIA Quantitative Analyst - Convertibles aljosa.aleksandro...@man.com Tel +41 55 417 76 03 Man Investments (CH) AG Huobstrasse 3 | 8808 Pfäffikon SZ | Switzerland -----Original Message----- From: Gabor Grothendieck [mailto:ggrothendi...@gmail.com] Sent: Dienstag, 26. April 2016 17:59 To: Aleksandrovic, Aljosa (Pfaeffikon) Cc: r-help@r-project.org Subject: Re: [R] Linear Regressions with constraint coefficients This is a quadratic programming problem that you can solve using either a quadratic programming solver with constraints or a general nonlinear solver with constraints. See https://cran.r-project.org/web/views/Optimization.html for more info on what is available. Here is an example using a nonlinear least squares solver and non-negative bound constraints. The constraint that the coefficients sum to 1 is implied by dividing them by their sum and then dividing the coefficients found by their sum at the end: # test data set.seed(123) n <- 1000 X1 <- rnorm(n) X2 <- rnorm(n) X3 <- rnorm(n) Y <- .2 * X1 + .3 * X2 + .5 * X3 + rnorm(n) # fit library(nlmrt) fm <- nlxb(Y ~ (b1 * X1 + b2 * X2 + b3 * X3)/(b1 + b2 + b3), data = list(Y = Y, X1 = X1, X2 = X2, X3 = X3), lower = numeric(3), start = list(b1 = 1, b2 = 2, b3 = 3)) giving the following non-negative coefficients which sum to 1 that are reasonably close to the true values of 0.2, 0.3 and 0.5: > fm$coefficients / sum(fm$coefficients) b1 b2 b3 0.18463 0.27887 0.53650 On Tue, Apr 26, 2016 at 8:39 AM, Aleksandrovic, Aljosa (Pfaeffikon) <aljosa.aleksandro...@man.com> wrote: > Hi all, > > I hope you are doing well? > > I’m currently using the lm() function from the package stats to fit linear > multifactor regressions. > > Unfortunately, I didn’t yet find a way to fit linear multifactor regressions > with constraint coefficients? I would like the slope coefficients to be all > inside an interval, let’s say, between 0 and 1. Further, if possible, the > slope coefficients should add up to 1. > > Is there an elegant and not too complicated way to do such a constraint > regression estimation in R? > > I would very much appreciate if you could help me with my issue? > > Thanks a lot in advance and kind regards, Aljosa Aleksandrovic > > > > Aljosa Aleksandrovic, FRM, CAIA > Quantitative Analyst - Convertibles > aljosa.aleksandro...@man.com > Tel +41 55 417 7603 > > Man Investments (CH) AG > Huobstrasse 3 | 8808 Pfäffikon SZ | Switzerland > > > -----Original Message----- > From: Kevin E. Thorpe [mailto:kevin.tho...@utoronto.ca] > Sent: Dienstag, 26. April 2016 14:35 > To: Aleksandrovic, Aljosa (Pfaeffikon) > Subject: Re: Linear Regressions with constraint coefficients > > You need to send it to r-help@r-project.org however. > > Kevin > > On 04/26/2016 08:32 AM, Aleksandrovic, Aljosa (Pfaeffikon) wrote: >> Ok, will do! Thx a lot! >> >> Please find below my request: >> >> Hi all, >> >> I hope you are doing well? >> >> I’m currently using the lm() function from the package stats to fit linear >> multifactor regressions. >> >> Unfortunately, I didn’t yet find a way to fit linear multifactor regressions >> with constraint coefficients? I would like the slope coefficients to be all >> inside an interval, let’s say, between 0 and 1. Further, if possible, the >> slope coefficients should add up to 1. >> >> Is there an elegant and not too complicated way to do such a constraint >> regression estimation in R? >> >> I would very much appreciate if you could help me with my issue? >> >> Thanks a lot in advance and kind regards, Aljosa Aleksandrovic >> >> >> >> Aljosa Aleksandrovic, FRM, CAIA >> Quantitative Analyst - Convertibles >> aljosa.aleksandro...@man.com >> Tel +41 55 417 7603 >> >> Man Investments (CH) AG >> Huobstrasse 3 | 8808 Pfäffikon SZ | Switzerland >> >> >> -----Original Message----- >> From: Kevin E. Thorpe [mailto:kevin.tho...@utoronto.ca] >> Sent: Dienstag, 26. April 2016 14:28 >> To: Aleksandrovic, Aljosa (Pfaeffikon); r-help-ow...@r-project.org >> Subject: Re: Linear Regressions with constraint coefficients >> >> I believe I approved a message with such a subject. Perhaps there was >> another layer that subsequently rejected it after that. I didn't notice any >> unusual content. Try again, making sure you send the message in plain text >> only. >> >> Kevin >> >> On 04/26/2016 08:16 AM, Aleksandrovic, Aljosa (Pfaeffikon) wrote: >>> Do you know where I get help for my issue? >>> >>> Thanks in advance and kind regards, >>> Aljosa >>> >>> >>> Aljosa Aleksandrovic, FRM, CAIA >>> Quantitative Analyst - Convertibles >>> aljosa.aleksandro...@man.com >>> Tel +41 55 417 7603 >>> >>> Man Investments (CH) AG >>> Huobstrasse 3 | 8808 Pfäffikon SZ | Switzerland >>> >>> -----Original Message----- >>> From: R-help [mailto:r-help-boun...@r-project.org] On Behalf Of >>> r-help-ow...@r-project.org >>> Sent: Dienstag, 26. April 2016 14:10 >>> To: Aleksandrovic, Aljosa (Pfaeffikon) >>> Subject: Linear Regressions with constraint coefficients >>> >>> The message's content type was not explicitly allowed >>> > > > -- > Kevin E. Thorpe > Head of Biostatistics, Applied Health Research Centre (AHRC) > Li Ka Shing Knowledge Institute of St. Michael's Hospital > Assistant Professor, Dalla Lana School of Public Health > University of Toronto > email: kevin.tho...@utoronto.ca Tel: 416.864.5776 Fax: 416.864.3016 > > This email has been sent by a member of the Man group (“Man”). Man’s parent > company, Man Group plc, is registered in England and Wales (company number > 08172396) at Riverbank House, 2 Swan Lane, London, EC4R 3AD. > The contents of this email are for the named addressee(s) only. It contains > information which may be confidential and privileged. If you are not the > intended recipient, please notify the sender immediately, destroy this email > and any attachments and do not otherwise disclose or use them. Email > transmission is not a secure method of communication and Man cannot accept > responsibility for the completeness or accuracy of this email or any > attachments. Whilst Man makes every effort to keep its network free from > viruses, it does not accept responsibility for any computer virus which might > be transferred by way of this email or any attachments. This email does not > constitute a request, offer, recommendation or solicitation of any kind to > buy, subscribe, sell or redeem any investment instruments or to perform other > such transactions of any kind. Man reserves the right to monitor, record and > retain all electronic and telephone communications through its network in > accordance with applicable laws and regulations. --UwQe9f5k7pI3vplngP > > ______________________________________________ > R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. -- Statistics & Software Consulting GKX Group, GKX Associates Inc. tel: 1-877-GKX-GROUP email: ggrothendieck at gmail.com ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
