I was wondering if you're trying to fit a curve, subject to monotonicity/convexity constraints... If you are, this is a challenging topic, best of luck...
On Tue, Sep 22, 2020 at 8:12 AM Abby Spurdle <spurdl...@gmail.com> wrote: > > Hi, > > Sorry, for my rushed responses, last night. > (Shouldn't post when I'm about to log out). > > I haven't used the quadprog package for nearly a decade. > And I was hoping that an expert using optimization in finance in > economics would reply. > > Some comments: > (1) I don't know why you think bvec should be a matrix. The > documentation clearly says it should be a vector (implying not a > matrix). > The only arguments that should be matrices are Dmat and Amat. > (2) I'm having some difficulty following your quadratic program, even > after rendering it. > Perhaps you could rewrite your expressions, in a form that is > consistent with the input to solve.QP. That's a math problem, not an R > programming problem, as such. > (3) If that fails, then you'll need to produce a minimal reproducible example. > I strongly recommend that the R code matches the quadratic program, as > closely as possible. > > > On Mon, Sep 21, 2020 at 9:28 PM Maija Sirkjärvi > <maija.sirkja...@gmail.com> wrote: > > > > Hi! > > > > I was wondering if someone could help me out. I'm minimizing a following > > function: > > > > \begin{equation} > > $$\sum_{j=1}^{J}(m_{j} -\hat{m_{j}})^2,$$ > > \text{subject to} > > $$m_{j-1}\leq m_{j}-\delta_{1}$$ > > $$\frac{1}{Q_{j-1}-Q_{j-2}} (m_{j-2}-m_{j-1}) \leq \frac{1}{Q_{j}-Q_{j-1}} > > (m_{j-1}-m_{j})-\delta_{2} $$ > > \end{equation} > > > > I have tried quadratic programming, but something is off. Does anyone have > > an idea how to approach this? > > > > Thanks in advance! > > > > Q <- rep(0,J) > > for(j in 1:(length(Price))){ > > Q[j] <- exp((-0.1) * (Beta *Price[j]^(Eta + 1) - 1) / (1 + Eta)) > > } > > > > Dmat <- matrix(0,nrow= J, ncol=J) > > diag(Dmat) <- 1 > > dvec <- -hs > > Aeq <- 0 > > beq <- 0 > > Amat <- matrix(0,J,2*J-3) > > bvec <- matrix(0,2*J-3,1) > > > > for(j in 2:nrow(Amat)){ > > Amat[j-1,j-1] = -1 > > Amat[j,j-1] = 1 > > } > > for(j in 3:nrow(Amat)){ > > Amat[j,J+j-3] = -1/(Q[j]-Q[j-1]) > > Amat[j-1,J+j-3] = 1/(Q[j]-Q[j-1]) > > Amat[j-2,J+j-3] = -1/(Q[j-1]-Q[j-2]) > > } > > for(j in 2:ncol(bvec)) { > > bvec[j-1] = Delta1 > > } > > for(j in 3:ncol(bvec)) { > > bvec[J-1+j-2] = Delta2 > > } > > solution <- solve.QP(Dmat,dvec,Amat,bvec=bvec) > > > > [[alternative HTML version deleted]] > > > > ______________________________________________ > > 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. ______________________________________________ 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.