[R] Constrained regression

From: Carlos Alzola <calzola_at_cox.net>
Date: Sun, 02 Mar 2008 22:52:50 -0500


Dear list members,

I am trying to get information on how to fit a linear regression with constrained parameters. Specifically, I have 8 predictors , their coeffiecients should all be non-negative and add up to 1. I understand it is a quadratic programming problem but I have no experience in the subject. I searched the archives but the results were inconclusive.

Could someone provide suggestions and references to the literature, please?

Thank you very much.

Carlos

Carlos Alzola
calzola_at_cox.net
(703) 242-6747

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