Re: [R] minimization function
Hi, thank you very much for the reply!
Consider minimize quadratic form w'Aw with A be the following matrix.
Dmat/2
[,1] [,2] [,3]
[1,] 1.0 0.5 0.8
[2,] 0.5 1.0 0.9
[3,] 0.8 0.9 1.0
I need to find w=(w1,w2,w3), a 3 by 1 vector, such that sum(w)=3, and wi=0
for all i.
Below is the code I wrote, using the function solve.QP , however, the
solution for w still have a
negtive component. Can some one give me some suggestions?
Thank you very much!
x - 2*c(1,0.5,0.8,0.5,1,0.9, 0.8,0.9,1)
Dmat - matrix(x, byrow=T, nrow=3, ncol=3)
dvec - numeric(3)
Amat - matrix(0,3,4)
Amat[,1 ] - c(1,1,1)
Amat[,2:4 ]- t(diag(3))
bvec - c(3,0,0,0)
solve.QP(Dmat,dvec,Amat,bvec=bvec)
$solution
[1] 1.50e+00 1.50e+00 -8.881784e-16
$value
[1] 6.75
$unconstrained.solution
[1] 0 0 0
$iterations
[1] 3 0
$Lagrangian
[1] 4.5 0.0 0.0 0.6
$iact
[1] 1 4
2010/4/10 Gabor Grothendieck ggrothendi...@gmail.com
Check out the quadprog package.
On Sat, Apr 10, 2010 at 5:36 PM, li li hannah@gmail.com wrote:
Hi, thanks for the reply.
A will be a given matrix satisfying condition 1. I want to find the
vector w that minimizes the
quadratic form. w satisfies condition 2.
2010/4/10 Paul Smith phh...@gmail.com
On Sat, Apr 10, 2010 at 5:13 PM, Paul Smith phh...@gmail.com wrote:
I am trying to minimize the quardratic form w'Aw, with certain
constraints.
In particular,
(1) A=(a_{ij}) is n by n matrix and it is symmetric positive
definite,
a_{ii}=1 for all i;
and 0a_{ij}1 for i not equal j.
(2) w'1=n;
(3) w_{i}=0
Analytically, for n=2, it is easy to come up with a result. For
larger
n, it
seems
difficult to obtain the result.
Does any one know whether it is possible to use R to numerically
compute
it?
And your decision variables are? Both w[i] and a[i,j] ?
In addition, what do you mean by larger n? n = 20 is already large
(in your sense)?
Paul
__
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
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http://www.R-project.org/posting-guide.htmlhttp://www.r-project.org/posting-guide.html
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Re: [R] minimization function
Add meq=1 to the arguments.
On Sun, Apr 11, 2010 at 9:50 AM, li li hannah@gmail.com wrote:
Hi, thank you very much for the reply!
Consider minimize quadratic form w'Aw with A be the following matrix.
Dmat/2
[,1] [,2] [,3]
[1,] 1.0 0.5 0.8
[2,] 0.5 1.0 0.9
[3,] 0.8 0.9 1.0
I need to find w=(w1,w2,w3), a 3 by 1 vector, such that sum(w)=3, and wi=0
for all i.
Below is the code I wrote, using the function solve.QP , however, the
solution for w still have a
negtive component. Can some one give me some suggestions?
Thank you very much!
x - 2*c(1,0.5,0.8,0.5,1,0.9, 0.8,0.9,1)
Dmat - matrix(x, byrow=T, nrow=3, ncol=3)
dvec - numeric(3)
Amat - matrix(0,3,4)
Amat[,1 ] - c(1,1,1)
Amat[,2:4 ]- t(diag(3))
bvec - c(3,0,0,0)
solve.QP(Dmat,dvec,Amat,bvec=bvec)
$solution
[1] 1.50e+00 1.50e+00 -8.881784e-16
$value
[1] 6.75
$unconstrained.solution
[1] 0 0 0
$iterations
[1] 3 0
$Lagrangian
[1] 4.5 0.0 0.0 0.6
$iact
[1] 1 4
2010/4/10 Gabor Grothendieck ggrothendi...@gmail.com
Check out the quadprog package.
On Sat, Apr 10, 2010 at 5:36 PM, li li hannah@gmail.com wrote:
Hi, thanks for the reply.
A will be a given matrix satisfying condition 1. I want to find the
vector w that minimizes the
quadratic form. w satisfies condition 2.
2010/4/10 Paul Smith phh...@gmail.com
On Sat, Apr 10, 2010 at 5:13 PM, Paul Smith phh...@gmail.com wrote:
I am trying to minimize the quardratic form w'Aw, with certain
constraints.
In particular,
(1) A=(a_{ij}) is n by n matrix and it is symmetric positive
definite,
a_{ii}=1 for all i;
and 0a_{ij}1 for i not equal j.
(2) w'1=n;
(3) w_{i}=0
Analytically, for n=2, it is easy to come up with a result. For
larger
n, it
seems
difficult to obtain the result.
Does any one know whether it is possible to use R to numerically
compute
it?
And your decision variables are? Both w[i] and a[i,j] ?
In addition, what do you mean by larger n? n = 20 is already large
(in your sense)?
Paul
__
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide
http://www.R-project.org/posting-guide.htmlhttp://www.r-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
[[alternative HTML version deleted]]
__
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and provide commented, minimal, self-contained, reproducible code.
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and provide commented, minimal, self-contained, reproducible code.
Re: [R] minimization function
Hi,
thanks!
I added meq=1 and it did not seem to work. The result is the same as before.
x - 2*c(1,0.5,0.8,0.5,1,0.9, 0.8,0.9,1)
Dmat - matrix(x, byrow=T, nrow=3, ncol=3)
dvec - numeric(3)
Amat - matrix(0,3,4)
Amat[,1 ] - c(1,1,1)
Amat[,2:4 ]- t(diag(3))
bvec - c(3,0,0,0)
solve.QP(Dmat,dvec,Amat,bvec=bvec, meq=1)
$solution
[1] 1.50e+00 1.50e+00 -8.881784e-16
$value
[1] 6.75
$unconstrained.solution
[1] 0 0 0
$iterations
[1] 3 0
$Lagrangian
[1] 4.5 0.0 0.0 0.6
$iact
[1] 1 4
2010/4/11 Gabor Grothendieck ggrothendi...@gmail.com
Add meq=1 to the arguments.
On Sun, Apr 11, 2010 at 9:50 AM, li li hannah@gmail.com wrote:
Hi, thank you very much for the reply!
Consider minimize quadratic form w'Aw with A be the following matrix.
Dmat/2
[,1] [,2] [,3]
[1,] 1.0 0.5 0.8
[2,] 0.5 1.0 0.9
[3,] 0.8 0.9 1.0
I need to find w=(w1,w2,w3), a 3 by 1 vector, such that sum(w)=3, and
wi=0
for all i.
Below is the code I wrote, using the function solve.QP , however, the
solution for w still have a
negtive component. Can some one give me some suggestions?
Thank you very much!
x - 2*c(1,0.5,0.8,0.5,1,0.9, 0.8,0.9,1)
Dmat - matrix(x, byrow=T, nrow=3, ncol=3)
dvec - numeric(3)
Amat - matrix(0,3,4)
Amat[,1 ] - c(1,1,1)
Amat[,2:4 ]- t(diag(3))
bvec - c(3,0,0,0)
solve.QP(Dmat,dvec,Amat,bvec=bvec)
$solution
[1] 1.50e+00 1.50e+00 -8.881784e-16
$value
[1] 6.75
$unconstrained.solution
[1] 0 0 0
$iterations
[1] 3 0
$Lagrangian
[1] 4.5 0.0 0.0 0.6
$iact
[1] 1 4
2010/4/10 Gabor Grothendieck ggrothendi...@gmail.com
Check out the quadprog package.
On Sat, Apr 10, 2010 at 5:36 PM, li li hannah@gmail.com wrote:
Hi, thanks for the reply.
A will be a given matrix satisfying condition 1. I want to find the
vector w that minimizes the
quadratic form. w satisfies condition 2.
2010/4/10 Paul Smith phh...@gmail.com
On Sat, Apr 10, 2010 at 5:13 PM, Paul Smith phh...@gmail.com
wrote:
I am trying to minimize the quardratic form w'Aw, with certain
constraints.
In particular,
(1) A=(a_{ij}) is n by n matrix and it is symmetric positive
definite,
a_{ii}=1 for all i;
and 0a_{ij}1 for i not equal j.
(2) w'1=n;
(3) w_{i}=0
Analytically, for n=2, it is easy to come up with a result. For
larger
n, it
seems
difficult to obtain the result.
Does any one know whether it is possible to use R to numerically
compute
it?
And your decision variables are? Both w[i] and a[i,j] ?
In addition, what do you mean by larger n? n = 20 is already large
(in your sense)?
Paul
__
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide
http://www.R-project.org/posting-guide.htmlhttp://www.r-project.org/posting-guide.html
http://www.r-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
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and provide commented, minimal, self-contained, reproducible code.
[[alternative HTML version deleted]]
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and provide commented, minimal, self-contained, reproducible code.
Re: [R] minimization function
You have merely found a little used
entry point into Circle 1 of 'The R Inferno'.
The third element of your answer is zero
to the precision of the QP algorithm. So it
is obeying the non-negative constraints that
you put on the problem to the best of its
ability. You should not expect numerical
exactness.
You might consider using the 'zapsmall'
function on your 'w' vector.
On 11/04/2010 16:31, li li wrote:
Hi,
thanks!
I added meq=1 and it did not seem to work. The result is the same as before.
x- 2*c(1,0.5,0.8,0.5,1,0.9, 0.8,0.9,1)
Dmat- matrix(x, byrow=T, nrow=3, ncol=3)
dvec- numeric(3)
Amat- matrix(0,3,4)
Amat[,1 ]- c(1,1,1)
Amat[,2:4 ]- t(diag(3))
bvec- c(3,0,0,0)
solve.QP(Dmat,dvec,Amat,bvec=bvec, meq=1)
$solution
[1] 1.50e+00 1.50e+00 -8.881784e-16
$value
[1] 6.75
$unconstrained.solution
[1] 0 0 0
$iterations
[1] 3 0
$Lagrangian
[1] 4.5 0.0 0.0 0.6
$iact
[1] 1 4
2010/4/11 Gabor Grothendieckggrothendi...@gmail.com
Add meq=1 to the arguments.
On Sun, Apr 11, 2010 at 9:50 AM, li lihannah@gmail.com wrote:
Hi, thank you very much for the reply!
Consider minimize quadratic form w'Aw with A be the following matrix.
Dmat/2
[,1] [,2] [,3]
[1,] 1.0 0.5 0.8
[2,] 0.5 1.0 0.9
[3,] 0.8 0.9 1.0
I need to find w=(w1,w2,w3), a 3 by 1 vector, such that sum(w)=3, and
wi=0
for all i.
Below is the code I wrote, using the function solve.QP , however, the
solution for w still have a
negtive component. Can some one give me some suggestions?
Thank you very much!
x- 2*c(1,0.5,0.8,0.5,1,0.9, 0.8,0.9,1)
Dmat- matrix(x, byrow=T, nrow=3, ncol=3)
dvec- numeric(3)
Amat- matrix(0,3,4)
Amat[,1 ]- c(1,1,1)
Amat[,2:4 ]- t(diag(3))
bvec- c(3,0,0,0)
solve.QP(Dmat,dvec,Amat,bvec=bvec)
$solution
[1] 1.50e+00 1.50e+00 -8.881784e-16
$value
[1] 6.75
$unconstrained.solution
[1] 0 0 0
$iterations
[1] 3 0
$Lagrangian
[1] 4.5 0.0 0.0 0.6
$iact
[1] 1 4
2010/4/10 Gabor Grothendieckggrothendi...@gmail.com
Check out the quadprog package.
On Sat, Apr 10, 2010 at 5:36 PM, li lihannah@gmail.com wrote:
Hi, thanks for the reply.
A will be a given matrix satisfying condition 1. I want to find the
vector w that minimizes the
quadratic form. w satisfies condition 2.
2010/4/10 Paul Smithphh...@gmail.com
On Sat, Apr 10, 2010 at 5:13 PM, Paul Smithphh...@gmail.com
wrote:
I am trying to minimize the quardratic form w'Aw, with certain
constraints.
In particular,
(1) A=(a_{ij}) is n by n matrix and it is symmetric positive
definite,
a_{ii}=1 for all i;
and 0a_{ij}1 for i not equal j.
(2) w'1=n;
(3) w_{i}=0
Analytically, for n=2, it is easy to come up with a result. For
larger
n, it
seems
difficult to obtain the result.
Does any one know whether it is possible to use R to numerically
compute
it?
And your decision variables are? Both w[i] and a[i,j] ?
In addition, what do you mean by larger n? n = 20 is already large
(in your sense)?
Paul
__
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide
http://www.R-project.org/posting-guide.htmlhttp://www.r-project.org/posting-guide.html
http://www.r-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
[[alternative HTML version deleted]]
__
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide
http://www.R-project.org/posting-guide.htmlhttp://www.r-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
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R-help@r-project.org mailing list
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PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
--
Patrick Burns
pbu...@pburns.seanet.com
http://www.burns-stat.com
(home of 'Some hints for the R beginner'
and 'The R Inferno')
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and provide commented, minimal, self-contained, reproducible code.
Re: [R] minimization function
It works for me:
x - 2*c(1,0.5,0.8,0.5,1,0.9, 0.8,0.9,1)
Dmat - matrix(x, byrow=T, nrow=3, ncol=3)
dvec - numeric(3)
Amat - matrix(0,3,4)
Amat[,1 ] - c(1,1,1)
Amat[,2:4 ]- t(diag(3))
bvec - c(3,0,0,0)
solve.QP(Dmat,dvec,Amat,bvec=bvec, meq=1)
$solution
[1] 1.5 1.5 0.0
$value
[1] 6.75
$unconstrained.solution
[1] 0 0 0
$iterations
[1] 3 0
$iact
[1] 1 4
R.version.string
[1] R version 2.10.1 (2009-12-14)
win.version()
[1] Windows Vista (build 6002) Service Pack 2
packageDescription(quadprog)$Version
[1] 1.4-12
On Sun, Apr 11, 2010 at 11:31 AM, li li hannah@gmail.com wrote:
Hi,
thanks!
I added meq=1 and it did not seem to work. The result is the same as before.
x - 2*c(1,0.5,0.8,0.5,1,0.9, 0.8,0.9,1)
Dmat - matrix(x, byrow=T, nrow=3, ncol=3)
dvec - numeric(3)
Amat - matrix(0,3,4)
Amat[,1 ] - c(1,1,1)
Amat[,2:4 ]- t(diag(3))
bvec - c(3,0,0,0)
solve.QP(Dmat,dvec,Amat,bvec=bvec, meq=1)
$solution
[1] 1.50e+00 1.50e+00 -8.881784e-16
$value
[1] 6.75
$unconstrained.solution
[1] 0 0 0
$iterations
[1] 3 0
$Lagrangian
[1] 4.5 0.0 0.0 0.6
$iact
[1] 1 4
2010/4/11 Gabor Grothendieck ggrothendi...@gmail.com
Add meq=1 to the arguments.
On Sun, Apr 11, 2010 at 9:50 AM, li li hannah@gmail.com wrote:
Hi, thank you very much for the reply!
Consider minimize quadratic form w'Aw with A be the following matrix.
Dmat/2
[,1] [,2] [,3]
[1,] 1.0 0.5 0.8
[2,] 0.5 1.0 0.9
[3,] 0.8 0.9 1.0
I need to find w=(w1,w2,w3), a 3 by 1 vector, such that sum(w)=3, and
wi=0
for all i.
Below is the code I wrote, using the function solve.QP , however, the
solution for w still have a
negtive component. Can some one give me some suggestions?
Thank you very much!
x - 2*c(1,0.5,0.8,0.5,1,0.9, 0.8,0.9,1)
Dmat - matrix(x, byrow=T, nrow=3, ncol=3)
dvec - numeric(3)
Amat - matrix(0,3,4)
Amat[,1 ] - c(1,1,1)
Amat[,2:4 ]- t(diag(3))
bvec - c(3,0,0,0)
solve.QP(Dmat,dvec,Amat,bvec=bvec)
$solution
[1] 1.50e+00 1.50e+00 -8.881784e-16
$value
[1] 6.75
$unconstrained.solution
[1] 0 0 0
$iterations
[1] 3 0
$Lagrangian
[1] 4.5 0.0 0.0 0.6
$iact
[1] 1 4
2010/4/10 Gabor Grothendieck ggrothendi...@gmail.com
Check out the quadprog package.
On Sat, Apr 10, 2010 at 5:36 PM, li li hannah@gmail.com wrote:
Hi, thanks for the reply.
A will be a given matrix satisfying condition 1. I want to find the
vector w that minimizes the
quadratic form. w satisfies condition 2.
2010/4/10 Paul Smith phh...@gmail.com
On Sat, Apr 10, 2010 at 5:13 PM, Paul Smith phh...@gmail.com
wrote:
I am trying to minimize the quardratic form w'Aw, with certain
constraints.
In particular,
(1) A=(a_{ij}) is n by n matrix and it is symmetric positive
definite,
a_{ii}=1 for all i;
and 0a_{ij}1 for i not equal j.
(2) w'1=n;
(3) w_{i}=0
Analytically, for n=2, it is easy to come up with a result. For
larger
n, it
seems
difficult to obtain the result.
Does any one know whether it is possible to use R to numerically
compute
it?
And your decision variables are? Both w[i] and a[i,j] ?
In addition, what do you mean by larger n? n = 20 is already large
(in your sense)?
Paul
__
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide
http://www.R-project.org/posting-guide.htmlhttp://www.r-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
[[alternative HTML version deleted]]
__
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__
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and provide commented, minimal, self-contained, reproducible code.
[R] minimization function
Hi all,
I am trying to minimize the quardratic form w'Aw, with certain
constraints.
In particular,
(1) A=(a_{ij}) is n by n matrix and it is symmetric positive definite,
a_{ii}=1 for all i;
and 0a_{ij}1 for i not equal j.
(2) w'1=n;
(3) w_{i}=0
Analytically, for n=2, it is easy to come up with a result. For larger n, it
seems
difficult to obtain the result.
Does any one know whether it is possible to use R to numerically compute it?
Thank you so much in advance!
Hannah
[[alternative HTML version deleted]]
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and provide commented, minimal, self-contained, reproducible code.
Re: [R] minimization function
On Sat, Apr 10, 2010 at 4:58 PM, li li hannah@gmail.com wrote:
I am trying to minimize the quardratic form w'Aw, with certain
constraints.
In particular,
(1) A=(a_{ij}) is n by n matrix and it is symmetric positive definite,
a_{ii}=1 for all i;
and 0a_{ij}1 for i not equal j.
(2) w'1=n;
(3) w_{i}=0
Analytically, for n=2, it is easy to come up with a result. For larger n, it
seems
difficult to obtain the result.
Does any one know whether it is possible to use R to numerically compute it?
And your decision variables are? Both w[i] and a[i,j] ?
Paul
__
R-help@r-project.org mailing list
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.
Re: [R] minimization function
On Sat, Apr 10, 2010 at 5:13 PM, Paul Smith phh...@gmail.com wrote:
I am trying to minimize the quardratic form w'Aw, with certain
constraints.
In particular,
(1) A=(a_{ij}) is n by n matrix and it is symmetric positive definite,
a_{ii}=1 for all i;
and 0a_{ij}1 for i not equal j.
(2) w'1=n;
(3) w_{i}=0
Analytically, for n=2, it is easy to come up with a result. For larger n, it
seems
difficult to obtain the result.
Does any one know whether it is possible to use R to numerically compute it?
And your decision variables are? Both w[i] and a[i,j] ?
In addition, what do you mean by larger n? n = 20 is already large
(in your sense)?
Paul
__
R-help@r-project.org mailing list
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.
Re: [R] minimization function
Hi, thanks for the reply.
A will be a given matrix satisfying condition 1. I want to find the
vector w that minimizes the
quadratic form. w satisfies condition 2.
2010/4/10 Paul Smith phh...@gmail.com
On Sat, Apr 10, 2010 at 5:13 PM, Paul Smith phh...@gmail.com wrote:
I am trying to minimize the quardratic form w'Aw, with certain
constraints.
In particular,
(1) A=(a_{ij}) is n by n matrix and it is symmetric positive
definite,
a_{ii}=1 for all i;
and 0a_{ij}1 for i not equal j.
(2) w'1=n;
(3) w_{i}=0
Analytically, for n=2, it is easy to come up with a result. For larger
n, it
seems
difficult to obtain the result.
Does any one know whether it is possible to use R to numerically compute
it?
And your decision variables are? Both w[i] and a[i,j] ?
In addition, what do you mean by larger n? n = 20 is already large
(in your sense)?
Paul
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Re: [R] minimization function
Check out the quadprog package.
On Sat, Apr 10, 2010 at 5:36 PM, li li hannah@gmail.com wrote:
Hi, thanks for the reply.
A will be a given matrix satisfying condition 1. I want to find the
vector w that minimizes the
quadratic form. w satisfies condition 2.
2010/4/10 Paul Smith phh...@gmail.com
On Sat, Apr 10, 2010 at 5:13 PM, Paul Smith phh...@gmail.com wrote:
I am trying to minimize the quardratic form w'Aw, with certain
constraints.
In particular,
(1) A=(a_{ij}) is n by n matrix and it is symmetric positive
definite,
a_{ii}=1 for all i;
and 0a_{ij}1 for i not equal j.
(2) w'1=n;
(3) w_{i}=0
Analytically, for n=2, it is easy to come up with a result. For larger
n, it
seems
difficult to obtain the result.
Does any one know whether it is possible to use R to numerically compute
it?
And your decision variables are? Both w[i] and a[i,j] ?
In addition, what do you mean by larger n? n = 20 is already large
(in your sense)?
Paul
__
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide
http://www.R-project.org/posting-guide.htmlhttp://www.r-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
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PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
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PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
