feasible: Feasible Solution for a Probability Distribution which must...

In polyapost: Simulating from the Polya Posterior

Feasible Solution for a Probability Distribution which must Satisfy a System of Linear Equality and Inequality Constraints.

Description

This function finds a feasible solution, p=(p_1,\ldots,p_n), in the n-dimensional simplex of probability distributions which must satisfy A_1 p = b_1, A_2 p = b_2, and A_3 p = b_3, All the components of the b_i must be nonnegative In addition each probability in the solution must be at least as big as eps, a small positive number.

Usage

feasible(A1,A2,A3,b1,b2,b3,eps)

Arguments

A1	The matrix for the equality constraints.This must always contain the constraint sum(p) == 1.
A2	The matrix for the <= inequality constraints. This must always contain the constraints -p <= 0.
A3	The matrix for the >= inequality constraints. If there are no such constraints A3 must be set equal to NULL.
b1	The rhs vector for A1, each component must be nonnegative.
b2	The rhs vector for A2, each component must be nonnegative.
b3	The rhs vector for A3, each component must be nonnegative. If A3 is NULL then b3 must be NULL.
eps	A small positive number. Each member of the solution must be at least as large as eps. Care must be taken not to choose a value of eps which is too large.

Value

The function returns a vector. If the components of the vector are positive then the feasible solution is the vector returned, otherwise there is no feasible solution.

Examples

A1<-rbind(rep(1,7),1:7)
b1<-c(1,4)
A2<-rbind(c(1,1,1,1,0,0,0),c(.2,.4,.6,.8,1,1.2,1.4))
b2<-c(1,2)
A3<-rbind(c(1,3,5,7,9,10,11),c(1,1,1,0,0,0,1))
b3<-c(5,.5)
eps<-1/100
feasible(A1,A2,A3,b1,b2,b3,eps)

polyapost documentation built on Sept. 26, 2024, 1:08 a.m.