Hi Kristian, The idea behind projection is that you take an iterate that violates the constraints and project it onto a point such that it is the nearest point that satisfies the constraints.
Suppose you have an iterate (w1, w4) that does not satisfy the constraint that w1 * w4 != (1 + eps)/2. Our goal is to find a (w1', w2'), given (w1, w2), such that (A) w1' * w2' = (1+eps)/2 = k (B) (w1-w1')^2 + (w2-w2')^2 is minimum. This is quite easy to solve. We know (w1, w2). You plug in w2' = k/w1' from (A) into (B) and minimize the function of w1'. This is a simple calculus exercise, and I will leave this as a homework problem for you to solve! Best, Ravi. ------------------------------------------------------- Ravi Varadhan, Ph.D. Assistant Professor, Division of Geriatric Medicine and Gerontology School of Medicine Johns Hopkins University Ph. (410) 502-2619 email: rvarad...@jhmi.edu<mailto:rvarad...@jhmi.edu> [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
