Re: [R] quadratic programming-maximization instead of
Maximizing f(x) = x'Ax makes sense only when A is negative-definite. Therefore, this is the same as minimizing x'Bx, where B = -A, and B is positive-definite. In other words, you should be able to simply flip the sign of the original matrix . This should yield a positive-definite matrix since the original matrix ought to be negative-definite. Ravi --- Ravi Varadhan, Ph.D. Assistant Professor, Division of Geriatric Medicine and Gerontology School of Medicine Johns Hopkins University Ph. (410) 502-2619 email: rvarad...@jhmi.edumailto:rvarad...@jhmi.edu [[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.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] quadratic programming-maximization instead of minization
Hi Riccardo, Would it be possible to use max(diag(D))*diag(ncol(D)) - D ? That also reverses the order of eigenvalues/-vectors. Cheers, Tsjerk On Jan 2, 2012 4:35 PM, riccardo24 riccardo.giacome...@gmail.com wrote: Hi, I need to maximize a quadratic function under constraints in R. For minimization I used solve.QP but for maximization it is not useful since the matrix D of the quadratic function should be positive definite hence I cannot simply change the sign. any suggestion ? thanks -- View this message in context: http://r.789695.n4.nabble.com/quadratic-programming-maximization-instead-of-minization-tp4253011p4253011.html Sent from the R help mailing list archive at Nabble.com. __ 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. [[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.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] quadratic programming-maximization instead of minization
Sorry, that should've been sum(diag(D)) or max(eigen(D)$values) in stead of max(diag(D)). Tsjerk On Jan 3, 2012 4:52 PM, Tsjerk Wassenaar tsje...@gmail.com wrote: Hi Riccardo, Would it be possible to use max(diag(D))*diag(ncol(D)) - D ? That also reverses the order of eigenvalues/-vectors. Cheers, Tsjerk On Jan 2, 2012 4:35 PM, riccardo24 riccardo.giacome...@gmail.com wrote: Hi, I need to m... [[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.html and provide commented, minimal, self-contained, reproducible code.
[R] quadratic programming-maximization instead of minization
Hi, I need to maximize a quadratic function under constraints in R. For minimization I used solve.QP but for maximization it is not useful since the matrix D of the quadratic function should be positive definite hence I cannot simply change the sign. any suggestion ? thanks -- View this message in context: http://r.789695.n4.nabble.com/quadratic-programming-maximization-instead-of-minization-tp4253011p4253011.html Sent from the R help mailing list archive at Nabble.com. __ 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] quadratic programming-maximization instead of minization
I don't have experience with this in R and I'm not sure I understand the question that well but maybe something like nearPD()? Ken Hutchison On Jan 2, 2012, at 6:36 AM, riccardo24 riccardo.giacome...@gmail.com wrote: Hi, I need to maximize a quadratic function under constraints in R. For minimization I used solve.QP but for maximization it is not useful since the matrix D of the quadratic function should be positive definite hence I cannot simply change the sign. any suggestion ? thanks -- View this message in context: http://r.789695.n4.nabble.com/quadratic-programming-maximization-instead-of-minization-tp4253011p4253011.html Sent from the R help mailing list archive at Nabble.com. __ 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. __ 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.
