Re: [R] Constraints in Quadprog

From: Spencer Graves <spencer.graves_at_pdf.com>
Date: Fri 02 Dec 2005 - 12:44:32 EST

          If I understand correctly, you are asking how solve.QP interprets the arguments. I clarified this by constructing a problem I could work manually but that was sophisticated enough to seemingly answer your question: minimize (x1^2+x2^2) subject to (x1+x2)=1. I computed manually that the answer should be x1=x2=0.5. (I used Lagrange multipliers, because that's the first thing that entered my head. However, I also could have substituted (1-x1) for x2 or used the "solver" in MS Excel.)

          After reading the documentation and trying something that gave an error message, I got the following:

 > (QP1 <- solve.QP(Dmat=diag(2), dvec=rep(0,2), + Amat=matrix(rep(1,2), c(2,1)), bvec=1, meq=1)) $solution
[1] 0.5 0.5

$value
[1] 0.25

$unconstrainted.solution
[1] 0 0

$iterations
[1] 2 0

$iact
[1] 1

          If this does not answer your question, have you studied the example with "?solve.QP"? If this is still not adequate, PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html and submit another post; I believe that people who follow that guide generally get more useful replies quicker.

	  hope this helps.
	  spencer graves

Serguei Kaniovski wrote:

> I'm having difficulty figuring out how to implement the
> following set of constraints in Quadprog:
>
> 1). x1+x2+x3+x4=a1
> 2). x1+x2+x5+x6=a2
> 3). x1+x3+x5+x7=a3
> 4). x1+x2=b1
> 5). x1+x3=b2
> 6). x1+x5=b3
>
> for the problem: MIN (x1-c1)2+(x2-c2)2+...+(x8-c8)2.
>
> As far a I understand, "solve.QP(Dmat, dvec, Amat, bvec, meq=0,
> factorized=FALSE)" reads contraints using an element-by-element
> multiplication, i.e. Amat'*x, not using the matrix-product, i.e.
> Amat'%*%x, required for the sums on the left-hand-side of 1-6).
>
> I would very much appreciate a suggestion on this problem.
>
> Thank you,
> Serguei Kaniovski
>
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-- 
Spencer Graves, PhD
Senior Development Engineer
PDF Solutions, Inc.
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spencer.graves@pdf.com
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Received on Fri Dec 02 12:57:53 2005

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