Materials for Seminar
July 19th
Title: Regression as a Special Case of Quadratic Programming
Students in operations research and industrial engineering typically study linear and non-linear programming. Whereas regression is more commonly used in the fields of statistics and econometrics. This lecture will describe the relationship between the two methodologies. Specifically, standard ordinary least squares regression can be formulated as a quadratic programming problem and solved by finding a solution to a linear set of equations. I will demonstrate how to formulate and solve regression problems in a number of ways using the software GAMS. A temporary license for GAMS will be provided and students should come to class with GAMS already installed on their computers.
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Directions for Installing GAMS
If you are having trouble installing GAMS, please uninstall GAMS completely. Then use the directions I have provided below. I used these directions on a computer with Japanese Windows and had no problems installing GAMS.
- Download license file from email
- Download software from gams website http://www.gams.com/download/
- Double click on downloaded file to begin installation
- Click next twice
- Make sure “Use GAMS IDE” is selected and click next
- Click install
- After the files finish installing, click the radio button next to “Copy license file” and click finish
- Browse to the location of your license file, highlight it, then click open at the bottom
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Least Squares
Klein Example pages 44-52
Example Confidence Intervals
CNLS Code
Data generation file (New!)
Example updated ghj.gms file (New!)