solve.beta: Solving for beta

In Chen2357/rrinterp: Interpolation with minimum and maximum constraints

Description

Find beta such that t(beta) %*% A %*% beta + ||beta||_1 is minimzied subject to B %*% beta = b. ||beta||_1 is the 1-norm of beta

Usage

## S3 method for class 'beta'
solve(A, B, b, tol = sqrt(.Machine$double.eps))

Arguments

A	A 6x6 symmetric postive-semidefinite matrix
B	A 6x6 matrix
b	A vector of 6 numbers
tol	Tolerance. Number whose absolute value is less than tol is considered 0.

Value

the desired beta, see main description

Examples

A <- diag(c(1 / 2, 1 / 3, 1 / 4, 1, 2, 3))
B <- diag(c(2, 3, 6, 0, 0, 0))
b <- c(1, 1, 1, 0, 0, 0)
result <- solve.beta(A, B, b)

Chen2357/rrinterp documentation built on Jan. 7, 2022, 1:01 p.m.