Constrained regression

["Carlos Alzola" <calzola@cox.net>]

Dear list members,

I am trying to get information on how to fit a linear regression with constrained parameters. Specifically, I have 8 predictors , their coeffiecients should all be non-negative and add up to 1. I understand it is a quadratic programming problem but I have no experience in the subject. I searched the archives but the results were inconclusive.

Could someone provide suggestions and references to the literature, please?

Thank you very much.

Carlos

Carlos Alzola
calzola@cox.net
(703) 242-6747