[R] SVD with positivity constraints

Molins, Jordi Jordi.Molins at drkw.com
Tue Jul 27 09:40:50 CEST 2004


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

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

Short Term Products / Treasury
Capital Markets

> Dresdner Kleinwort Wasserstein 
phone	+49 69 713 15329
fax	+49 69 713 19804
mobile  +49 171 171 64 61
mailto:jordi.molins at drkw.com

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