Re: [R] Constrained Optimization, a full example

: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On Behalf Of Hesen Peng Sent: Tuesday, June 16, 2009 11:51 PM To: Stu @ AGS; R Help Subject: Re: [R] Constrained Optimization, a full example H, I'm assuming that you are trying to find the solution of \beta to the que

Re: [R] Constrained Optimization, a full example

H, I'm assuming that you are trying to find the solution of \beta to the question: argmin |y-X\beta|_2^2, which is a quadratic programming problem. On Tue, Jun 16, 2009 at 6:29 PM, Hesen Peng wrote: > Hello, > > Since the optimization goal is quadratic and constraint is linear, > quadratic pr

Re: [R] Constrained Optimization, a full example

Hello, Since the optimization goal is quadratic and constraint is linear, quadratic programming functions will help. There are many such packages available, e.g. quadprog. On Tue, Jun 16, 2009 at 5:54 PM, Stu @ AGS wrote: > After a few days of work, I think I nearly have it. > > Unfortunately, th

[R] Constrained Optimization, a full example

After a few days of work, I think I nearly have it. Unfortunately, theta is unchanged after I run this (as a script from a file). I thought that theta would contain the fitted parameters. The goal here is to find the least squares fit according to the function defined as "rss" subject to the