[R] optimization w.r.t matrix
David Winsemius
dwinsemius at comcast.net
Tue Oct 5 21:40:59 CEST 2010
On Oct 5, 2010, at 2:46 PM, QiJun Fung wrote:
> Does any one know how to optimize the following function w.r.t to
> beta? The difficulty here is the beta is a matrix not a vector. and f
> is also a function of beta and an element of the objective function. I
> just want to know for this complicated situation, is there any
> packages or function to estimate matrix beta? All the packages I found
> can only estimate the vector beta.
What is preventing you from passing a vector and then treating that
vector as a matrix within the function? Matrices in R are basically
folded vectors after all.
> Thanks very much!
>
object.fn <- function(beta)
{
# Perhaps
b2 <- as.matrix(beta, nrow=3, ncol=3)
p <- M
f <-solve(diag(p)+w*Omega) %*% t(data.hist) %*% b2/
(norm(solve(diag(p)+w*Omega)%*%t(data.hist),"F"))
# return
sum(diag( (data.hist-b2 %*% t(f) ) %*% t(data.hist-b2 %*%
t(f) ) ) )+
w*t(b2) %*% b2 %*% t(f) %*% Omega %*% f
}
(I am taking as implied that the this will return a scalar or an
object that can be properly minimized.)
>
--
David Winsemius, MD
West Hartford, CT
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