[R] Linear Regressions with constraint coefficients

Tue Apr 26 17:52:28 CEST 2016

Ok, will try!

Thanks a kind regards,
Aljosa

Aljosa Aleksandrovic, FRM, CAIA
Quantitative Analyst - Convertibles
aljosa.aleksandrovic at man.com
Tel +41 55 417 76 03

Man Investments (CH) AG
Huobstrasse 3 | 8808 Pfäffikon SZ | Switzerland

-----Original Message-----
From: Bert Gunter [mailto:bgunter.4567 at gmail.com] 
Sent: Dienstag, 26. April 2016 17:49
To: Aleksandrovic, Aljosa (Pfaeffikon)
Cc: r-help at r-project.org
Subject: Re: [R] Linear Regressions with constraint coefficients

Have you tried web searching on " R constrained linear regression" or similar. There seemed to be resources related to your issues when I looked. You might also search on rseek.org  . There are apparently several packages that do regression with constraints, but I don't know if they fit your situation.

Cheers,
Bert

Bert Gunter

"The trouble with having an open mind is that people keep coming along and sticking things into it."
-- Opus (aka Berkeley Breathed in his "Bloom County" comic strip )

On Tue, Apr 26, 2016 at 8:29 AM, Aleksandrovic, Aljosa (Pfaeffikon) <Aljosa.Aleksandrovic at man.com> wrote:
> Ok, and if I would just like to force my slope coefficients to be inside an interval, let's say, between 0 and 1? Is there a way in R to formulate such a constraint regression?
>
> Thanks in advance and kind regards,
> Aljosa
>
>
>
> Aljosa Aleksandrovic, FRM, CAIA
> Quantitative Analyst - Convertibles
> aljosa.aleksandrovic at man.com
> Tel +41 55 417 7603
>
> Man Investments (CH) AG
> Huobstrasse 3 | 8808 Pfäffikon SZ | Switzerland
>
>
> -----Original Message-----
> From: Bert Gunter [mailto:bgunter.4567 at gmail.com]
> Sent: Dienstag, 26. April 2016 16:51
> To: Aleksandrovic, Aljosa (Pfaeffikon)
> Cc: r-help at r-project.org
> Subject: Re: [R] Linear Regressions with constraint coefficients
>
> If the slope coefficients sum to a constant, the regressors are dependent and so a unique solution is impossible (an infinity of solutions would result). So I think you have something going on that you don't understand and should consult a local statistician to help you formulate your problem appropriately.
>
> Cheers,
> Bert
>
>
> Bert Gunter
>
> "The trouble with having an open mind is that people keep coming along and sticking things into it."
> -- Opus (aka Berkeley Breathed in his "Bloom County" comic strip )
>
>
> On Tue, Apr 26, 2016 at 5:39 AM, Aleksandrovic, Aljosa (Pfaeffikon) <Aljosa.Aleksandrovic at man.com> wrote:
>> Hi all,
>>
>> I hope you are doing well?
>>
>> I’m currently using the lm() function from the package stats to fit linear multifactor regressions.
>>
>> Unfortunately, I didn’t yet find a way to fit linear multifactor regressions with constraint coefficients? I would like the slope coefficients to be all inside an interval, let’s say, between 0 and 1. Further, if possible, the slope coefficients should add up to 1.
>>
>> Is there an elegant and not too complicated way to do such a constraint regression estimation in R?
>>
>> I would very much appreciate if you could help me with my issue?
>>
>> Thanks a lot in advance and kind regards, Aljosa Aleksandrovic
>>
>>
>>
>> Aljosa Aleksandrovic, FRM, CAIA
>> Quantitative Analyst - Convertibles
>> aljosa.aleksandrovic at man.com
>> Tel +41 55 417 7603
>>
>> Man Investments (CH) AG
>> Huobstrasse 3 | 8808 Pfäffikon SZ | Switzerland
>>
>>
>> -----Original Message-----
>> From: Kevin E. Thorpe [mailto:kevin.thorpe at utoronto.ca]
>> Sent: Dienstag, 26. April 2016 14:35
>> To: Aleksandrovic, Aljosa (Pfaeffikon)
>> Subject: Re: Linear Regressions with constraint coefficients
>>
>> You need to send it to r-help at r-project.org however.
>>
>> Kevin
>>
>> On 04/26/2016 08:32 AM, Aleksandrovic, Aljosa (Pfaeffikon) wrote:
>>> Ok, will do! Thx a lot!
>>>
>>> Please find below my request:
>>>
>>> Hi all,
>>>
>>> I hope you are doing well?
>>>
>>> I’m currently using the lm() function from the package stats to fit linear multifactor regressions.
>>>
>>> Unfortunately, I didn’t yet find a way to fit linear multifactor regressions with constraint coefficients? I would like the slope coefficients to be all inside an interval, let’s say, between 0 and 1. Further, if possible, the slope coefficients should add up to 1.
>>>
>>> Is there an elegant and not too complicated way to do such a constraint regression estimation in R?
>>>
>>> I would very much appreciate if you could help me with my issue?
>>>
>>> Thanks a lot in advance and kind regards, Aljosa Aleksandrovic
>>>
>>>
>>>
>>> Aljosa Aleksandrovic, FRM, CAIA
>>> Quantitative Analyst - Convertibles
>>> aljosa.aleksandrovic at man.com
>>> Tel +41 55 417 7603
>>>
>>> Man Investments (CH) AG
>>> Huobstrasse 3 | 8808 Pfäffikon SZ | Switzerland
>>>
>>>
>>> -----Original Message-----
>>> From: Kevin E. Thorpe [mailto:kevin.thorpe at utoronto.ca]
>>> Sent: Dienstag, 26. April 2016 14:28
>>> To: Aleksandrovic, Aljosa (Pfaeffikon); r-help-owner at r-project.org
>>> Subject: Re: Linear Regressions with constraint coefficients
>>>
>>> I believe I approved a message with such a subject. Perhaps there was another layer that subsequently rejected it after that. I didn't notice any unusual content. Try again, making sure you send the message in plain text only.
>>>
>>> Kevin
>>>
>>> On 04/26/2016 08:16 AM, Aleksandrovic, Aljosa (Pfaeffikon) wrote:
>>>> Do you know where I get help for my issue?
>>>>
>>>> Thanks in advance and kind regards, Aljosa
>>>>
>>>>
>>>> Aljosa Aleksandrovic, FRM, CAIA
>>>> Quantitative Analyst - Convertibles
>>>> aljosa.aleksandrovic at man.com
>>>> Tel +41 55 417 7603
>>>>
>>>> Man Investments (CH) AG
>>>> Huobstrasse 3 | 8808 Pfäffikon SZ | Switzerland
>>>>
>>>> -----Original Message-----
>>>> From: R-help [mailto:r-help-bounces at r-project.org] On Behalf Of
>>>> r-help-owner at r-project.org
>>>> Sent: Dienstag, 26. April 2016 14:10
>>>> To: Aleksandrovic, Aljosa (Pfaeffikon)
>>>> Subject: Linear Regressions with constraint coefficients
>>>>
>>>> The message's content type was not explicitly allowed
>>>>
>>
>>
>> --
>> Kevin E. Thorpe
>> Head of Biostatistics,  Applied Health Research Centre (AHRC)
>> Li Ka Shing Knowledge Institute of St. Michael's Hospital
>> Assistant Professor, Dalla Lana School of Public Health
>> University of Toronto
>> email: kevin.thorpe at utoronto.ca  Tel: 416.864.5776  Fax: 416.864.3016
>>
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