Description Usage Arguments Value Note Author(s) References See Also Examples
Solves an lsei inverse problem (Least Squares with Equality and Inequality Constraints)
\min(Axb^2)
subject to
Ex=f
Gx>=h
Uses either subroutine lsei (FORTRAN) from the LINPACK package, or
solve.QP
from Rpackage quadprog
.
In case the equality constraints Ex=f cannot be satisfied, a generalized inverse solution residual vector length is obtained for fEx.
This is the minimal length possible for fEx^2.
1 2 3 
A 
numeric matrix containing the coefficients of the quadratic
function to be minimised, AxB^2; if the columns of 
B 
numeric vector containing the righthand side of the quadratic function to be minimised. 
E 
numeric matrix containing the coefficients of the equality
constraints, Ex=F; if the columns of 
F 
numeric vector containing the righthand side of the equality constraints. 
G 
numeric matrix containing the coefficients of the inequality
constraints, Gx>=H; if the columns of 
H 
numeric vector containing the righthand side of the inequality constraints. 
Wx 
numeric vector with weighting coefficients of unknowns (length = number of unknowns). 
Wa 
numeric vector with weighting coefficients of the quadratic function (AxB) to be minimised (length = number of number of rows of A). 
type 
integer code determining algorithm to use 1= 
tol 
tolerance (for singular value decomposition, equality and inequality constraints). 
tolrank 
only used if 
fulloutput 
if 
verbose 
logical to print error messages. 
a list containing:
X 
vector containing the solution of the least squares problem. 
residualNorm 
scalar, the sum of absolute values of residuals of equalities and violated inequalities. 
solutionNorm 
scalar, the value of the minimised quadratic function at the solution, i.e. the value of Axb^2. 
IsError 
logical, 
type 
the string "lsei", such that how the solution was obtained can be traced. 
covar 
covariance matrix of the solution; only returned if

RankEq 
rank of the equality constraint matrix.; only returned if

RankApp 
rank of the reduced least squares problem (approximate
equations); only returned if 
See comments in the original code for more details; these comments are included in the ‘docs’ subroutine of the package.
Karline Soetaert <[email protected]>
K. H. Haskell and R. J. Hanson, An algorithm for linear least squares problems with equality and nonnegativity constraints, Report SAND770552, Sandia Laboratories, June 1978.
K. H. Haskell and R. J. Hanson, Selected algorithms for the linearly constrained least squares problem  a users guide, Report SAND781290, Sandia Laboratories,August 1979.
K. H. Haskell and R. J. Hanson, An algorithm for linear least squares problems with equality and nonnegativity constraints, Mathematical Programming 21 (1981), pp. 98118.
R. J. Hanson and K. H. Haskell, Two algorithms for the linearly constrained least squares problem, ACM Transactions on Mathematical Software, September 1982.
Berwin A. Turlach R and Andreas Weingessel (2007). quadprog: Functions to solve Quadratic Programming Problems. R package version 1.411. S original by Berwin A. Turlach R port by Andreas Weingessel.
solve.QR
the original function from package quadprog
.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46  # 
# example 1: polynomial fitting
# 
x < 1:5
y < c(9, 8, 6, 7, 5)
plot(x, y, main = "Polynomial fitting, using lsei", cex = 1.5,
pch = 16, ylim = c(4, 10))
# 1st order
A < cbind(rep(1, 5), x)
B < y
cf < lsei(A, B)$X
abline(coef = cf)
# 2nd order
A < cbind(A, x^2)
cf < lsei(A, B)$X
curve(cf[1] + cf[2]*x + cf[3]*x^2, add = TRUE, lty = 2)
# 3rd order
A < cbind(A, x^3)
cf < lsei(A, B)$X
curve(cf[1] + cf[2]*x + cf[3]*x^2 + cf[4]*x^3, add = TRUE, lty = 3)
# 4th order
A < cbind(A, x^4)
cf < lsei(A, B)$X
curve(cf[1] + cf[2]*x + cf[3]*x^2 + cf[4]*x^3 + cf[5]*x^4,
add = TRUE, lty = 4)
legend("bottomleft", c("1storder", "2ndorder","3rdorder","4thorder"),
lty = 1:4)
# 
# example 2: equalities, approximate equalities and inequalities
# 
A < matrix(nrow = 4, ncol = 3,
data = c(3, 1, 2, 0, 2, 0, 0, 1, 1, 0, 2, 0))
B < c(2, 1, 8, 3)
E < c(0, 1, 0)
F < 3
G < matrix(nrow = 2, ncol = 3, byrow = TRUE,
data = c(1, 2, 0, 1, 0, 1))
H < c(3, 2)
lsei(E = E, F = F, A = A, B = B, G = G, H = H)

Warning message:
In lsei(A, B) : No equalities  setting type = 2
Warning message:
In lsei(A, B) : No equalities  setting type = 2
Warning message:
In lsei(A, B) : No equalities  setting type = 2
Warning message:
In lsei(A, B) : No equalities  setting type = 2
$X
[1] 1.2424242 3.0000000 0.7575758
$residualNorm
[1] 3.996803e15
$solutionNorm
[1] 98.06061
$IsError
[1] FALSE
$type
[1] "lsei"
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.