[R] Which package/function for solving weighted linear least squares with inequality and equality constraints?
Berend Hasselman
bhh at xs4all.nl
Fri Oct 19 20:12:12 CEST 2012
On 19-10-2012, at 20:00, Thomas Schu wrote:
> Dear All,
>
> Which package/function could i use to solve following linear least square
> problem?
> A over determined system of linear equations is given. The nnls-function may
> would be a possibility BUT:
> The solving is constrained with
> a inequality that all unknowns are >= 0
> and a equality that the sum of all unknowns is 1
> The influence of the equations according to the solving process is weighted
> too.
>
> llAx-bll2 * weight
> with xi >=0 and sum(x)=1
>
> I´m pleased about every suggestion.
Just guessing.
Go to the Optimization task view on the Task Views page on CRAN: http://cran.r-project.org/web/views/
Have a look at package limSolve (Quadratic Programming). From the description I gather that it may do what you want.
Berend
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