lmconst: LSE with equal constraint

In yfyang86/optimise2: optim corrections.

Description

Y = X beta with x0 beta = y0 constraint.

Usage

lmconst( y,x,x0,y0) 

Arguments

y	length n vector: response Variablei
x	n by p matrix: corresponding Variables
x0	p by l matrix: constraint beta coef
y0	length l vector: value to constraints

Details

Use quadratic programming.

Value

coef	Constraint LSE/MLE(Normal assumption ).

Note

The function will only output the coefficients.

Author(s)

Yifan Yang

References

Richard Brent, Algorithms for minimization without derivatives, Prentice-Hall (1973), republished by Dover in paperback (2002), ISBN 0-486-41998-3.

Examples

# Example 1: dim =1
x=seq( 0,10,0.1) 
y = matrix( 6*x+7+runif( 101,min=-1,max=1) ,ncol=1) 
x=matrix( x,ncol=1) 
re = lmconst( y,x,2,19) 
re
re[ 1] +2*re[ 2] 

# Example 2: multi dim
# R CMD check will skipp %...
#x = matrix(runif(100),ncol=2) 
#y = x %*% c(6,2) +1 + rnorm( 50) 
#re = lmconst(y=y,x=x,x0=c(2,1),y0=15) 
#re
#re[1] +2*re[2] +re[ 3] 

yfyang86/optimise2 documentation built on May 4, 2019, 2:32 p.m.