[R-SIG-Finance] Constrained Regression with Intercept in pcls

[thomas.chan.sf at boci-pru.com.hk]

Alternatively, the lsei (least squares with equalities and inequalities) fu
nction in the limSolve package solves for the least square solution to a
system of equations with linear and nonlinear constraints.


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  |Philipp <jasonhome at freenet.de>                                                                                                          |
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  |r-sig-finance at r-project.org                                                                                                             |
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  |02/12/2011 00:20                                                                                                                        |
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  |[R-SIG-Finance] Constrained Regression with Intercept in pcls                                                                           |
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  |r-sig-finance-bounces at r-project.org                                                                                                     |
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Dear all,

I already asked about to run a constrained regression like y=b0 +
b1X1+b2x2+b3x3, with constraints:

b1+b2+b3=1 and b1,b2,b3>=0. I thought it will run with style.QPfit with the
performance Analytic packages.

However the style.QPfit function does not estimate an intercept. As i
really
can not extend this function for my problem, I noticed pcls. Pcls is maybe
an alternative for my problem. Can somebody help me to implement the
constraints in pcls. Maybe it can be done by designing a designed matrix X
with extra column for the inercept (b0) and to force C in a way. But how I
do not know.

Your help is greatly appreciated

Philipp

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