>>>>> "AD" == Alexis Diamond <[EMAIL PROTECTED]> writes:
AD> I have a follow-up from Jens's question and Professor Ripley's AD> response. AD> Jens wants to do quadratic optimization with 2 constraints: >> > > # I need two constraints: >> > > # 1. each element in par needs to be between 0 and 1 >> > > # 2. sum(par)=1, i.e. the elements in par need to sum to 1 AD> how does one set both constraints in quadprog, per AD> Prof. Ripley's suggestion? i know how to get quadprog to AD> handle the second constraint, The first is actually not one constraint but 2*k constraints, where k is the number of elements in "par". But there is quite some redundancy in this set of equation. It suffices to constrain each element to be bigger or equal to 0 and that they should sum to 1. If these constraints are fulfilled, then each element must be less or equal to one. AD> but not BOTH, since quadprog only takes as inputs the AD> constraint matrix "A" and constraint vector "b"-- So what stops you from coding the k constraints from 1.) in the form that quadprog requires them? From memory, i.e. untested: m <- length(par) Amat <- cbind(rep(1,m), diag(m)) bvec <- c(1,rep(0,m)) meq <- 1 solve.QP(Dmat, dvec, Amat, bvec, meq) AD> unlike in "ipop" (kernlab), there is no additional option for AD> box constraints. Well, the problems that I had (and still have) usually don't involve box constraints, but I see that other people use them again and again. So probably it would be a good idea to implement them... But, more importantly, would be to implement Powell's modifications of the Goldfarb-Idnani algorithm to make it numerically more robust... Oh, yeah, and a warm start option from a feasible point would be nice too.... Probably all in a future version which should be released sometime before Xmas 20xx. :) AD> apologies if i am not seeing something obvious here. Apologies accepted. :) Cheers, Berwin ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html