I am trying to solve the following...
W = pX
X is an i x 1 vector of known values (i is the number of observations in my sample)
p is a constant and is negative (it is unknown).
W is an i x1 vector of unknown values.
The sum of the values in W needs to equal zero. (w1 + w2 + w3 + ...+ wi = 0)
I am trying to solve for W.
I am not sure how to set up this problem so that I can solve for W.
Is this something that I can do using proc OPTMODEL?
If so, can you please help show me how I can set it up?
If not, can you please recommend an alternative that might work?
I know that I am asking a lot but I have been struggling with this all day and any help or advice is appreciated!
I have tried using the documentation, but I am unsure of how to set up the constraints (the sum of w's is zero and that p is negative constant).
Yes, you can do this using PROC OPTMODEL.
If you have declared W as:
var W {1..i};
You can express the constraint that W sums to zero as follows:
con SumToZero:
sum {j in 1..i} W
To make p negative, include a slightly negative upper bound in the variable declaration:
var p <= -1e-6;
Yes, you can do this using PROC OPTMODEL.
If you have declared W as:
var W {1..i};
You can express the constraint that W sums to zero as follows:
con SumToZero:
sum {j in 1..i} W
To make p negative, include a slightly negative upper bound in the variable declaration:
var p <= -1e-6;
Thanks Rob,
This is very helpful.
J
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