A Simple New Algorithm for Quadratic Programming with Applications in Statistics
A Simple New Algorithm for Quadratic Programming with Applications in Statistics
复制标题
一种简单的二次规划新算法及其在统计中的应用
DOI：
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发表时间：
2013
期刊：
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通讯作者：
Mary C. Meyer
中科院分区：
文献类型：
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作者：
Mary C. Meyer
统计建模中经常出现涉及线性不等式约束下的估计和推理的问题。在本文中，我们提出了一种算法来解决正定 Q 最小化的二次规划问题，其中 被约束在封闭多面体凸锥 中，并且 m × n 矩阵不一定是满行秩。三步算法直观且易于编码。代码以 R 编程语言提供。
Problems involving estimation and inference under linear inequality constraints arise often in statistical modeling. In this article, we propose an algorithm to solve the quadratic programming problem of minimizing for positive definite Q, where is constrained to be in a closed polyhedral convex cone , and the m × n matrix is not necessarily full row rank. The three-step algorithm is intuitive and easy to code. Code is provided in the R programming language.