[R] Fwd: Quadratic programming, for loop
Maija Sirkjärvi
m@ij@@@irkj@rvi @ending from gm@il@com
Mon Jul 30 09:18:24 CEST 2018
Thanks a lot! I got the main part working (after a relaxing holiday).
However I still have some problems with the conditions. The looping is not
working properly, but this is not really an QP problem anymore. It's more
about that R runs the loop differently than c++, I guess.
Thanks a lot for help!
Maija
pe 29. kesäk. 2018 klo 13.29 Berwin A Turlach (berwin.turlach using gmail.com)
kirjoitti:
> G'day Maija,
>
> On Wed, 27 Jun 2018 08:48:08 +0300
> Maija Sirkjärvi <maija.sirkjarvi using gmail.com> wrote:
>
> > Thanks for your reply! Unfortunately something is still wrong.
> >
> > After the transpose, dvec and Amat are still incompatible.
> >
> > > d <- -hsmooth
> > > dvec <- t(d)
> > > c <- dvec*Amat
> > Error in dvec * Amat : non-conformable arrays
>
> '*' in R is element-wise multiplication and '%*%' implements
> matrix/matrix (matrix/vector) multiplication as defined in matrix
> algebra. I presume you want to use the latter operator here.
>
> > Moreover, I don't understand the following:
> >
> > > If dvec is of length *J*, then b will be of length J too.
> >
> > I believe the length of dvec comes from the number of variables and
> > the length of b from the number of constraints. In this case they are
> > not equal.
>
> As I said:
>
> > > solve.QP solves the quadratic program:
> > > min(-d^T b + 1/2 b^T D b)
> > > where A^T b >= b_0.
>
> The minimisation is with respect to b.
>
> Note that the objective function contains the inner product of d
> (passed to dvec) and b, so d and b must have the same
> dimension/length. b contains the parameters/variables over which you
> want to minimise. b_0 (passed to bvec) depends on the number of
> constraints.
>
> Cheers,
>
> Berwin
>
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