Re: [R] Optimization of constrained linear least-squares problem

From: Stefaan Lhermitte <stefaan.lhermitte_at_biw.kuleuven.be>
Date: Fri 18 Mar 2005 - 21:56:41 EST

Thanx Dimitris, Patrick and Berwin!

For other people interested in this problem, here are two valid solutions that work.

  1. Re-parameterize e.g.,
    EM <- c(100,0,0,0,100,0,0,0,100)
    W <- array(EM, c(3,3))
    d <- c(10, 20, 70)

    fn <- function(x){
          x <- exp(x) / sum(exp(x))
          r <- W%*%x - d
        crossprod(r, r)[1,1]

    }
    opt <- optim(rnorm(3), fn)
    res <- exp(opt$par) / sum(exp(opt$par))     res

    "The first line of the `fn()' function is just a re-pameterization     of your problem, i.e., if `y' is a vector of real numbers, then it     is straightforward to see that `x = exp(y) / sum(exp(y))' will be     real numbers in (0, 1) for which `sum(y)=1'. So instead of finding     xs that minimize your function under the constraint (which is more     difficult) you just find the ys using the above transformation." (I     owe you a drink Dimitris !!!)

2) Or minimize it as a quadratic function under a linear constraint:

    EM <- c(100,0,0,0,100,0,0,0,100)
    W <- array(EM, c(3,3))
    d <- c(10, 20, 70)

    library(quadprog)
    Dmat <- crossprod(W,W)
    dvec <- crossprod(d,W)
    A <-matrix(c(1,1,1),ncol=1)

    bvec <- 1
    solve.QP(Dmat, dvec, A, bvec, meq=1)

    This is based on the objective function (i.e. the thing you want to     minimise) : min x'C'Cx - 2 d'Cx + d'd where sum(x) = 1     (Thanx Berwin!!)

Kind regards,
Stef



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https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Fri Mar 18 22:07:41 2005

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