【发布时间】：2017-01-12 10:55:18
【问题描述】：
我正在尝试使用solve.QP.compact 来解决线性约束下的二次问题。最小化函数可以写为 Beta Dmat Beta，其中 Beta 表示应该为正的凸系数（Beta > 0 且 beta 之和 = 1）。 Dmat如下：
Dmat <- matrix(c(109372234737,56220334574,73429834051,91873541870,71984996802,26694299175,59466668488,72903058589,34863587167,69990189651,56220334574,30472842846,41528929013,47926044961,39275554021,15336150547,31555630939,46390008065,18268007279,37264936709,73429834051,41528929013,66139008296,63287127518,56359545680,23281467618,42187566934,81859897202,23713602850,48982965873,91873541870,47926044961,63287127518,79910583327,62808190600,22813816846,50498032289,61764252981,29834680574,60303335045,71984996802,39275554021,56359545680,62808190600,61526678668,20293546244,40774759080,65131530787,23760877095,48696449409,26694299175,15336150547,23281467618,22813816846,20293546244,10710118459,16315334904,40553546897,8572539401,18248955543,59466668488,31555630939,42187566934,50498032289,40774759080,16315334904,34293058435,49072014208,19333916546,38891422022,72903058589,46390008065,81859897202,61764252981,65131530787,40553546897,49072014208,201860304636,23395941080,50359726205,34863587167,18268007279,23713602850,29834680574,23760877095,8572539401,19333916546,23395941080,11528523792,23285654687,69990189651,37264936709,48982965873,60303335045,48696449409,18248955543,38891422022,50359726205,23285654687,48461629142), nrow=10, ncol=10)
作为solve.QP.compact，求解函数-d^Tb + 1/2 b^TDb，我有
dvec <- rep(0,nrow(Dmat))`
约束由
定义Amat = matrix(data=0, nrow=nrow(Dmat), ncol=nrow(Dmat)+1)
Amat[1,] = 1
Amat[,1] = 1
和
Aind = matrix(data=0, nrow=nrow(Dmat)+1, ncol=nrow(Dmat)+1)
Aind[1,] = 1
Aind[1,1] = nrow(Dmat)
Aind[2,] = c(1, seq(1:nrow(Dmat)))
Aind[,1] = c(nrow(Dmat), seq(1:nrow(Dmat)))
总和应该等于1，所有其他值都应该是正数，所以我有bvec定义为
bvec = rep(0,nrow(Dmat)+1)
bvec[1] = 1
我使用solve.QP.compact
solve.QP.compact(Dmat = Dmat, dvec = dvec, Amat = Amat, Aind=Aind, bvec = bvec)
这是由以下错误导致的
constraints are inconsistent, no solution!
我做错了什么？
【问题讨论】：
-
尝试将
bvec设置为略高于 0，您将其设置为 0。