[R] SVD with positivity constraints

From: Molins, Jordi <Jordi.Molins_at_drkw.com>
Date: Tue 27 Jul 2004 - 17:40:50 EST


I have a matrix equation, Ax=b, that I need to solve for x. x should be a vector of positive numbers (between 0 and 1). A is not a square matrix in general. This lead me to using the SVD. However, using the SVD gives me positive and negative numbers, as well. I have some constraints included in the A matrix itself (i.e., that the sum of some xi should be equal to 1) but I do not know how to include the constraint that each xi should be non-negative.

Is there in R (or somewhere else) an SVD that includes this kind of constraint? or some other optimizer that can cope with solving non-square matrix equations, including the positivity constraint?

I know that this is not really an R question, sorry for that.


Jordi Molins

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Capital Markets

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