[R] Solve matrix with constraints using sum of squares
Scott.Wilkinson at csiro.au
Scott.Wilkinson at csiro.au
Wed Aug 1 00:58:16 CEST 2007
I'm trying to solve a system of equations for A and B:
37.07*A + 0.07*B - 36.73*C ~= 0
2.68*A + 24.75*B - 275.77*C ~= 0
The LHS is the product of 2*3 and 3*1 matrices.
Constraints: A+B=1
0<=A,B<=1
C=1
I want to minimise the sum of squares of the equations together.
The R function solve can solve matrices but not with these constraints.
Lp solves equations with these constraints but doesn't use sum of
squares; just a linear solution which minimises EQN1 to ~-36.66 by the
solution [0,1,1] for example.
I know from the help file and previous postings that QR.solve, solve.QP
(quadprog) or Optim are able to do this or something similar, but I
can't follow the application of these functions. I could use Excel
solver but my endgame is to run this solution for many many equations.
Would appreciate your help.
Scott.
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