[R] Constrained Regression

[Spencer Graves]

Have you tried the 'sos' package?


install.packages('sos') # if not already installed
library(sos)
cr <- ???'constrained regression' # found 149 matches
summary(cr) # in 69 packages
cr # opens a table in a browser listing all 169 matches with links to 
the help pages


       However, I agree with Ravi Varadhan:  I'd want to understand the 
physical mechanism generating the data.  If each is, for example, a 
proportion, then I'd want to use logistic regression, possible after 
some approximate logistic transformation of X1 and X2 that prevents 
logit(X) from going to +/-Inf.  This is a different model, but it 
achieves the need to avoid predictions of Y going outside the range (0, 1).


       Spencer


On 10/31/2010 9:01 AM, David Winsemius wrote:
>
> On Oct 31, 2010, at 2:44 AM, Jim Silverton wrote:
>
>> Hello everyone,
>> I have 3 variables Y, X1 and X2. Each variables lies between 0 and 1. 
>> I want
>> to do a constrained regression such that a>0 and (1-a) >0
>>
>> for the model:
>>
>> Y = a*X1 + (1-a)*X2
>
>
> It would not accomplish the constraint that a > 0 but you could 
> accomplish the other constraint within an lm fit:
>
> X3 <- X1-X2
> lm(Y ~ X3 + offset(X2) )
>
> Since beta1 is for the model Y ~ 1 + beta1(X1- X2) + 1*X2)
>                              Y ~ intercept + beta1*X1 + (1 -beta1)*X2
>
> ... so beta1 is a.
>
> In the case beta < 0 then I suppose a would be assigned 0. This might 
> be accomplished within an iterative calculation framework by a large 
> penalization for negative values. In a reply (1) to a question by 
> Carlos Alzola in 2008 on rhalp, Berwin Turlach offered a solution to a 
> similar problem ( sum(coef) == 1 AND coef non-negative). Modifying his 
> code to incorporate the above strategy (and choosing two variables for 
> which parameter values might be inside the constraint boundaries) we get:
>
> library(MASS)   ## to access the Boston data
>   designmat <- model.matrix(medv~I(age-lstat) +offset(lstat), 
> data=Boston)
>   Dmat <-crossprod(designmat, designmat); dvec <- crossprod(designmat,
>   Boston$medv)
>   Amat <- cbind(1, diag(NROW(Dmat)))
>   bvec <- c(1,rep(0,NROW(Dmat)))
>   meq <- 1
> library(quadprog)
>   res <- solve.QP(Dmat, dvec, Amat, bvec, meq)
>
> > zapsmall(res$solution)
> [1] 0.686547 0.313453
>
> Turlach specifically advised against any interpretation of this 
> particular result which was only contructed to demonstrate the 
> mathematical mechanics.
>
>>
>> I tried the help on the constrained regression in R but I concede 
>> that it
>> was not helpful.
>
> I must not have that package installed because I got nothing that 
> appeared to be useful with ??"constrained regression" .
>
>
> David Winsemius, MD
> West Hartford, CT
>
> 1) http://finzi.psych.upenn.edu/Rhelp10/2008-March/155990.html
>
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>


-- 
Spencer Graves, PE, PhD
President and Chief Operating Officer
Structure Inspection and Monitoring, Inc.
751 Emerson Ct.
San José, CA 95126
ph:  408-655-4567