Have you tried web searching on " R constrained linear regression" or similar. There seemed to be resources related to your issues when I looked. You might also search on rseek.org . There are apparently several packages that do regression with constraints, but I don't know if they fit your situation.
Cheers, Bert Bert Gunter "The trouble with having an open mind is that people keep coming along and sticking things into it." -- Opus (aka Berkeley Breathed in his "Bloom County" comic strip ) On Tue, Apr 26, 2016 at 8:29 AM, Aleksandrovic, Aljosa (Pfaeffikon) <aljosa.aleksandro...@man.com> wrote: > Ok, and if I would just like to force my slope coefficients to be inside an > interval, let's say, between 0 and 1? Is there a way in R to formulate such a > constraint regression? > > Thanks in advance and kind regards, > Aljosa > > > > Aljosa Aleksandrovic, FRM, CAIA > Quantitative Analyst - Convertibles > aljosa.aleksandro...@man.com > Tel +41 55 417 7603 > > Man Investments (CH) AG > Huobstrasse 3 | 8808 Pfäffikon SZ | Switzerland > > > -----Original Message----- > From: Bert Gunter [mailto:bgunter.4...@gmail.com] > Sent: Dienstag, 26. April 2016 16:51 > To: Aleksandrovic, Aljosa (Pfaeffikon) > Cc: r-help@r-project.org > Subject: Re: [R] Linear Regressions with constraint coefficients > > If the slope coefficients sum to a constant, the regressors are dependent and > so a unique solution is impossible (an infinity of solutions would result). > So I think you have something going on that you don't understand and should > consult a local statistician to help you formulate your problem appropriately. > > Cheers, > Bert > > > Bert Gunter > > "The trouble with having an open mind is that people keep coming along and > sticking things into it." > -- Opus (aka Berkeley Breathed in his "Bloom County" comic strip ) > > > On Tue, Apr 26, 2016 at 5:39 AM, Aleksandrovic, Aljosa (Pfaeffikon) > <aljosa.aleksandro...@man.com> wrote: >> Hi all, >> >> I hope you are doing well? >> >> I’m currently using the lm() function from the package stats to fit linear >> multifactor regressions. >> >> Unfortunately, I didn’t yet find a way to fit linear multifactor regressions >> with constraint coefficients? I would like the slope coefficients to be all >> inside an interval, let’s say, between 0 and 1. Further, if possible, the >> slope coefficients should add up to 1. >> >> Is there an elegant and not too complicated way to do such a constraint >> regression estimation in R? >> >> I would very much appreciate if you could help me with my issue? >> >> Thanks a lot in advance and kind regards, Aljosa Aleksandrovic >> >> >> >> Aljosa Aleksandrovic, FRM, CAIA >> Quantitative Analyst - Convertibles >> aljosa.aleksandro...@man.com >> Tel +41 55 417 7603 >> >> Man Investments (CH) AG >> Huobstrasse 3 | 8808 Pfäffikon SZ | Switzerland >> >> >> -----Original Message----- >> From: Kevin E. Thorpe [mailto:kevin.tho...@utoronto.ca] >> Sent: Dienstag, 26. April 2016 14:35 >> To: Aleksandrovic, Aljosa (Pfaeffikon) >> Subject: Re: Linear Regressions with constraint coefficients >> >> You need to send it to r-help@r-project.org however. >> >> Kevin >> >> On 04/26/2016 08:32 AM, Aleksandrovic, Aljosa (Pfaeffikon) wrote: >>> Ok, will do! Thx a lot! >>> >>> Please find below my request: >>> >>> Hi all, >>> >>> I hope you are doing well? >>> >>> I’m currently using the lm() function from the package stats to fit linear >>> multifactor regressions. >>> >>> Unfortunately, I didn’t yet find a way to fit linear multifactor >>> regressions with constraint coefficients? I would like the slope >>> coefficients to be all inside an interval, let’s say, between 0 and 1. >>> Further, if possible, the slope coefficients should add up to 1. >>> >>> Is there an elegant and not too complicated way to do such a constraint >>> regression estimation in R? >>> >>> I would very much appreciate if you could help me with my issue? >>> >>> Thanks a lot in advance and kind regards, Aljosa Aleksandrovic >>> >>> >>> >>> Aljosa Aleksandrovic, FRM, CAIA >>> Quantitative Analyst - Convertibles >>> aljosa.aleksandro...@man.com >>> Tel +41 55 417 7603 >>> >>> Man Investments (CH) AG >>> Huobstrasse 3 | 8808 Pfäffikon SZ | Switzerland >>> >>> >>> -----Original Message----- >>> From: Kevin E. Thorpe [mailto:kevin.tho...@utoronto.ca] >>> Sent: Dienstag, 26. April 2016 14:28 >>> To: Aleksandrovic, Aljosa (Pfaeffikon); r-help-ow...@r-project.org >>> Subject: Re: Linear Regressions with constraint coefficients >>> >>> I believe I approved a message with such a subject. Perhaps there was >>> another layer that subsequently rejected it after that. I didn't notice any >>> unusual content. Try again, making sure you send the message in plain text >>> only. >>> >>> Kevin >>> >>> On 04/26/2016 08:16 AM, Aleksandrovic, Aljosa (Pfaeffikon) wrote: >>>> Do you know where I get help for my issue? >>>> >>>> Thanks in advance and kind regards, >>>> Aljosa >>>> >>>> >>>> Aljosa Aleksandrovic, FRM, CAIA >>>> Quantitative Analyst - Convertibles >>>> aljosa.aleksandro...@man.com >>>> Tel +41 55 417 7603 >>>> >>>> Man Investments (CH) AG >>>> Huobstrasse 3 | 8808 Pfäffikon SZ | Switzerland >>>> >>>> -----Original Message----- >>>> From: R-help [mailto:r-help-boun...@r-project.org] On Behalf Of >>>> r-help-ow...@r-project.org >>>> Sent: Dienstag, 26. April 2016 14:10 >>>> To: Aleksandrovic, Aljosa (Pfaeffikon) >>>> Subject: Linear Regressions with constraint coefficients >>>> >>>> The message's content type was not explicitly allowed >>>> >> >> >> -- >> Kevin E. 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