python最小二乘估计,Python中的约束最小二乘估计

最新推荐文章于 2024-06-18 12:11:29 发布

转载最新推荐文章于 2024-06-18 12:11:29 发布 · 685 阅读

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#python最小二乘估计

博主正尝试用Scipy实现约束最小二乘估计，目标是确保所有系数在0到1范围内且总和为1，类似于Matlab的LSQLIN功能。他们考虑使用scipy.optimize.fmin_slsqp()，但不确定应传递哪些参数。已找到一个使用leastsq_bounds的方法来添加边界约束，如0<=x_i<=1，但还需添加系数总和为1的约束。询问如何在5D、10D或更高维度的问题中设置这种计算。

I'm trying to perform a constrained least-squares estimation using Scipy such that all of the coefficients are in the range (0,1) and sum to 1 (this functionality is implemented in Matlab's LSQLIN function).

Does anybody have tips for setting up this calculation using Python/Scipy. I believe I should be using scipy.optimize.fmin_slsqp(), but am not entirely sure what parameters I should be passing to it.[1]

Many thanks for the help,

Nick

[1] The one example in the documentation for fmin_slsqp is a bit difficult for me to parse without the referenced text -- and I'm new to using Scipy.

解决方案

scipy-optimize-leastsq-with-bound-constraints on SO givesleastsq_bounds, which is

leastsq

with bound constraints such as 0 <= x_i <= 1.

The constraint that they sum to 1 can be added in the same way.

(I've found leastsq_bounds / MINPACK to be good on synthetic test functions in 5d, 10d, 20d;

how many variables do you have ?)