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quadprog issues---how to define the constriants
2 messages · Jiting Xu, Enrico Schumann
3 days later
Hi Jiting, On Fri, 15 Mar 2013, Jiting Xu <jiting.xu at gmail.com> writes:
Hi list:
This is my first time to post my question on the list. Thanks for your
help.
I am solving a quadratic programming using R. Here is my question:
w = arg min 0.5*w'Mw - w'N
s. t. sum(w) = 1;
w>0
note: w is weight vector, each w_i must >=0, and the sum of w =1.
Here is my R code:
A <-matrix(c(2.26,1.26,1.12,1.12,2.27,1.13,1.12,1.13,2.2),3,3);
shouldn't that be a symmetric matrix?
B <- c(0.007459281,0.007448885,0.007447850);
M <-nrow(A);
Amat <- cbind(rep(1,M), diag(M));
bvec <- c(1,rep(0,M)) ;
meq <- 1;
min <- solve.QP(Dmat=A,dvec=B,Amat=Amat,bvec=bvec,meq=meq)
init_prior.weig <-min$solution;
cat("weight = ",init_prior.weig,"\n" )
My question is: When I tried "big" matrix A and B, I get some negative
weights. I think I already put the constraints(w>0). I want all weights >
0;
Could you post an example in which you get negative weights? Before you do: how large, in absolute terms, are these negative values? If they are like -1e-15, then they are simply "numeric noise". (And you have specified the constraint w>=0. If you really want w>0 in a meaningful sense, you will have to be more specific: you will have to set w > eps, in which eps is the minimal weight that would be sufficiently greater than zero in your application.)
Do I put the right constraints ? Could you help figure out it. Thanks in advance. Jiting
Regards, Enrico
Enrico Schumann Lucerne, Switzerland http://enricoschumann.net