dykstra: Solve a Quadratic Programming Problem via Dykstra's Algorithm

In Dykstra: Quadratic Programming using Cyclic Projections

Description

This function uses Dykstra's cyclic projection algorithm to solve quadratic programming problems of the form

- d^T x + (1/2) x^T D x

subject to A^T x >= b where D is a positive definite (or positive semidefinite) matrix.

Usage

dykstra(Dmat, dvec, Amat, bvec, meq = 0, factorized = FALSE,
        maxit = NULL, eps = NULL)

Arguments

Dmat	Quadratic program matrix D of order n \times n.
dvec	Quadratic program vector d of length n.
Amat	Constraint matrix A of order n \times r.
bvec	Constraint vector b of length r. Defaults to vector of zeros.
meq	First meq constraints are equality constraints (remaining are inequality constraints). Defaults to zero.
factorized	If TRUE, argument Dmat is R^{-1} where R^T R = D.
maxit	Maximum number of iterations (cycles). Defaults to 30n.
eps	Numeric tolerance. Defaults to n * .Machine$double.eps.

Details

Arguments 1-6 of the dykstra function are inspired by (and identical to) the corresponding arguments of the solve.QP function in the quadprog package.

Value

solution	Vector x that minimizes quadratic function subject to constraints.
value	Value of quadratic function at solution. Will be NA if factorized = TRUE.
unconstrained	Vector x_0 = D^{-1} d that minimizes quadratic function ignoring constraints.
iterations	Number of iterations (cycles) of the algorithm.
converged	TRUE if algorithm converged. FALSE if iteration limit exceeded.

Note

For positive semidefinite D, a small constant is added to each eigenvalue of D before solving the quadratic programming problem.

Author(s)

Nathaniel E. Helwig <[e-mail]>

References

Dykstra, Richard L. (1983). An algorithm for restricted least squares regression. Journal of the American Statistical Association, Volume 78, Issue 384, 837-842. doi: 10.1080/01621459.1983.10477029

Examples

###  EXAMPLE 1: Generic Quadratic Programming Problem  ###

# constraint 1 (equality): coefficients sum to 1
# constraints 2-4 (inequality): coefficients non-negative

# define QP problem
Dmat <- diag(3)
dvec <- c(1, 1.5, 1)
Amat <- cbind(rep(1, 3), diag(3))
bvec <- c(1, 0, 0, 0)

# solve QP problem
dykstra(Dmat, dvec, Amat, bvec, meq = 1)

# solve QP problem (factorized = TRUE)
dykstra(Dmat, dvec, Amat, bvec, meq = 1, factorized = TRUE)



###  EXAMPLE 2: Regression with Non-Negative Coefficients  ###

# generate regression data
set.seed(1)
nobs <- 100
nvar <- 5
X <- matrix(rnorm(nobs*nvar), nobs, nvar)
beta <- c(0, 1, 0.3, 0.7, 0.1)
y <- X %*% beta + rnorm(nobs)

# define QP problem
Dmat <- crossprod(X)
dvec <- crossprod(X, y)
Amat <- diag(nvar)

# solve QP problem
dykstra(Dmat, dvec, Amat)

# solve QP problem (factorized = TRUE)
Rmat <- chol(Dmat)
Rinv <- solve(Rmat)
dykstra(Rinv, dvec, Amat, factorized = TRUE)



###  EXAMPLE 3: Isotonic Regression  ###

# generate regression data
set.seed(1)
n <- 50
x <- 1:n
y <- log(x) + rnorm(n)

# define QP problem
Dmat <- diag(n)
Amat <- Dmat[, 2:n] - Dmat[, 1:(n-1)]

# solve QP problem
dyk <- dykstra(Dmat, y, Amat)
dyk

# plot results
plot(x, y)
lines(x, dyk$solution)



###  EX 4: Large Non-Negative Quadratic Program  ###

# define QP problem
set.seed(1)
n <- 1000
Dmat <- Amat <- diag(n)
dvec <- runif(n, min = -2)

# solve QP problem with dykstra
dyk <- dykstra(Dmat, dvec, Amat)
dyk

Dykstra documentation built on May 2, 2019, 8:58 a.m.