Constrained Regression Using Solver
Nov 11, 2008
I have the following dataset and was wondering how I can run a constrained regression in Excel with the constraint being that the total allocation of assets is 100%:
Total return (y): 12 data points
Asset 1 (x1): 12 data points
Asset 2 (x2): 12 data points
Asset 3 (x3): 12 data points
Asset 4 (x4): 12 data points
Asset 5 (x5): 12 data points
Asset 6 (x6): 12 data points
[Attached is a spreadsheet with the actual dataset]
I know the regression equation I need is R = b1X1 + b2X2 +
.+ (1 - b1 - b2 -
.- b5 )X6 + e
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Oct 19, 2007
I am experimenting with solver and have attached an example of my problem.
A3:A12 contains a list of numbers from 1 to 10. B3:B12 are my cells I wish to change to be either 1 or 0. If a cell in column B equals 1 then it multiplies the corresponding number in column A by 1 and puts the result in column C. Column C is summed up in cell C14.
My solver settings are below: ...
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Sep 10, 2006
I have a cell, D5, which is the sum of three other cells, A5 B5 and C5. (all currently empty). Cells A1 through C4 are filled with various numbers.
What I've been trying to do is use solver to say: Make D5 equal 200, do it by manipulating only A5 B5 and C5, and make it subject to the constraint that A5 must equal a value selected from A1:A4, and B5 must equal a value from B1:B4, and C5 ...etc. I have deliberately set it up so that there is only one solution.
I was doing fine until trying to create the constraints. How can I make a constraint that says "this cell" must equal "one of the following cells"? And if I can't do that, is there an alternate method of achieving the same result?
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Jan 12, 2007
I have to use use the solver to calculate something (a mean-variance framework).
I am using the solver to minimize a cartain cell (variance) by making two cells equal through (expected return) by varying 10 cells( weights of assets), but I have to repeat this for 500+ times (for different expected returns).
Someone told me that I could best use some sort of loop through VBA. But I don't have a clue how that works.
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Oct 2, 2008
The above is a screenshot of the data analysis (regression) I want to automate with vba code. Like all macros, I tried to record first and only got the following
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Jul 21, 2006
I was handed the attached file. understand everything except how the values in row 6 were derived No formula present when I received the file, just the numbers. Row 7 is hard entered scores the units achieved
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Jul 9, 2009
I am wanting to write a macro which uses the excel multiple regression function (a part of the data analysis add-in). I tried recording a macro while I selected the regression function (Tools> Data Analysis... etc.) which produced the following:
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Oct 16, 2008
I would like to run a multiple linear regression in vba. I have one dependent and three explanatory variables. I will have to use a macro of some kind, since I need to run too many regressions to do it manually. To simplify things a little bit:
- There will always be exactly three independent variables
- There are no missing values
- The data is allways numerical
I've already got four ranges defined: Yrange, X1range, X2range, X3range. I would like to take these ranges as input parameters for the regression model. The only two parameters I need are Sum Square for Regression (SSR) and the degrees of freedom. I understand that you can use excel's matrix formulas to calculate some of the input parameters, but one doesn't really get around vba. Any (simple) source code allowing me to conduct a regression with three input parameters?
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Feb 8, 2007
I am trying to set up the formula y = ax^2 + bx + c. Is there a function for that in excel?
To get a little more into my overall goal. I will have a x constant that will remain the same, but I have 8 different sets of a,b, & c coefficients. So, I would like to set up something like, if a row is labeled A1, find the A1 set of coefficients and use them in the quadratic equation. I was thinking I would need to use a CSE, is that correct?
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Jan 10, 2014
Ok so heres an example workbook:
Book5.xlsx
As you can see from the workbook, each column's amount of numbers depends on the data pulled from an index/match function.
These numbers will change and I want the TREND function to dynamically change with the data.
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Dec 19, 2012
I have one question about the regression. i know how can i do it lineair, exponentiel ... but how can i make a personnalised regression ? for example, if i have i function f(x)=a+b*x^2 or another function ... how can i introduce my function to draw the regression ? i have excel 2007
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Feb 8, 2010
I am trying to do multivariate polynomial regression in excel, trying to correlate data of the form y=f(x1,x2) with second order polynomials:
Y = c + a1*x1 + a2*x1^2 + a3^x1^3 + b1*x2 + b2*x2^2 + b3*x2^3
Using the following command, I have achieved this:
=LINEST(A2:A10,B2:B10^{1,2,3,0,0,0}*C2:C10^{0,0,0, 1,2,3},TRUE,TRUE)
theory Excel uses for this kind of regression?
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Jan 27, 2013
If I have a set of numbers 1,2,3,4,5,6,7,8,9 in cells, how can I get a line of best fit, linear regression, in the cells next to them?
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Nov 20, 2013
Given 100 samples, to calculate: numbers of hours spent on study is dependent on numbers of hours spent on social networking site.
x (social networking site)
y (study)
x^2
xy
6
4
36
16
24
[Code] .......
SUMMARY OUTPUT
SUMMARY OUTPUT
Regression Statistics
Regression Statistics
Multiple R
0.571423290877713
[Code] ....
So, I've got the coefficient of correlation equals to 0.57, how can I plot my scatter graph?
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May 5, 2014
I have set up a linear regression array in Excel and now want to test the significance of my r2 value at a certain level of significance. I've only been able to find tables that give the critical r value, but I want to test it at 99.73% level of confidence and none of them contain that specific value. Is there a way to do this in Excel?
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Mar 2, 2009
I have a set of data. I know how to do linear regression over the whole set of data. How do I have another linear regression over the first 5 points in the set of data on the same graph ?? I am using Excel 2007
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Apr 10, 2009
I'm trying to write a macro that will analyze data from one spreadsheet and do a regression. The information I want to be output on the same sheet. I tried to use the record function, but I got an error. It said "Run-time error '1004': ATPVBAEN.XLA could not be found. The code read:
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May 23, 2007
to getting accurate regression coefficients from a dataset with *small* (standard) numbers, which contains centered predictors. More specifically, I have a dataset with 18 observed data points containing a criterion (y), a centered predictor variable (x), another centered predictor variable (z), and the interaction of the two centered predictor variables (xz). This multiple regression equation is structured to test for interactions between the two continuous predictor variables (x and z) as prescribed by Aiken and West (1991) in their classic book.
When I run the regression in Excel with the centered predictors, some of the regression coefficents in the output are estimated to be 0, although they are clealry *not* 0 as estimated by SPSS 14.0.2. I have spent many hours troubleshooting this problem (and searched many forums on the internet) and still do not know why this is happening.
Initially, I thought the problem might have to do with the cross-product of the centered predictors, but even just doing a regression with one of the centered predictors (for certain centered predictors) yields a regression coefficient of 0 (although it should be non-zero as per SPSS 14.0.2). When doing these multiple regressions with non-centered predictors, all regression coefficients are estimated accurately.
I was wondering if anyone had any insights on why I am experiencing these problems.... If anyone wants a sample of some test data I have used to troubleshoot these problems, you can download a file from: [url] and/or email me at (email deleted by Mod) for more datasets or questions.
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Jan 21, 2009
I want to use solver program. But when solver "changes cells" i want it to trigger my pivot tables in the workbook. So i added the code to my worksheet:
Private Sub Worksheet_Change(ByVal Target As Range)
ThisWorkbook.RefreshAll
End Sub
So when a change occurs, all my pivot tables will get refreshed and my data will change. Is solver able to trigger this event while solving an optimization problem?
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Apr 10, 2013
However I have a subject at uni that requires me to create a series of regression models, histograms, correlation matrices etc.
For part of the assignment, i have to run 4 regressions (one for men & one for women) with dependent variable as average wages, and independent as bfast 1,2,3 and dinner 1,2,3 (all of which are dummy variables) (0 for male and 1 for female).
The second two regressions are exactly the same, except average wages must be transformed into log which i have already done.
I dont know how to differentiate the regression models into male and female (if possible). We must also include residuals and residual plots.
I keep getting an error that says non-numeric data, the other says input range must be a contiguous reference.
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Feb 14, 2008
I am trying to drive Solver in Excel 2000 with a Visual Basic (version given as 9969) macro. SolverReset is observed, and SolverAdd puts the constraints in. But the SolverOK statement does nothing, so the SetCell and the ByChange windows stay empty.
SolverSolve is trying to do something, because the spreadsheet cell that should receive the return code from Solver gets an error value #VALUE! (The macro then stops, unable to process this entry.)
Solver is checked off ok in the References list in V.Basic.
The same macro, same spreadsheet, in the same Excel file, works fine on the other computer in my office with what I am told is a more recent version of Excel; i.e. this doesn't look like a coding error.
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Jun 2, 2009
I wanted to see if I could use the solver to Solve Sudoku puzzles. I created the attached workbook. First it colors the numbers that are put in manually, which would be the starting puzzle. I have a generic one put in now. Then it finds which cells that are allowed to change. Then it is supposed to solve. It doesn't work. Run the Sheet1.SolvePuzzle Macro to see it not work. Is solver just not up to the task, or am I missing something?
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Feb 20, 2010
I recorded a macro using 'Solver'. When I try to run it, I get a message"Complie Error: Sub or Function not defined". Can anyone help me?
Heres the
Sub Macro1()
SolverOk SetCell:="$R$4", MaxMinVal:=3, ValueOf:="4275", ByChange:="$S$4"
SolverSolve
End Sub
I also tried this
Sub SolverMacro()
' Example Solver VBA Macro
SolverReset
SolverOk SetCell:="$R$4", MaxMinVal:=3, ValueOf:="4275", ByChange:="$S$4"
SolverSolve userFinish:=True
End Sub
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Dec 21, 2006
can I program a macro to run solver? ...
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Feb 4, 2008
I need to solve this using solver. I have an idea, but I'm not sure what to in regards to my objective function, and how to properly set up my constraints. I know I need to use sumproduct, but I'm not sure in what way. I'm using Excel 2007, here is the problem:
The Sweet Smell Fertilizer Company Markets bags of Manure is Combination of compost and Sewage Wastes. Each pound of Compost costs sweet smell $0.05 and has a fertilizer rating of 2 units. Each pound of sewage costs $0.004 and has a fertilizer rating of unit. To provide good quality fertilizer, each bag should contain at least 35 pounds of compost, not more than 40 pounds of sewage, and have total fertilizer rating of at least 100 units. Determine the lowest-cost blend of compose and sewage in each bag.
Here is what I have so far: ....
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Nov 17, 2008
I created a trendline and associated equation for some data plotted against Time on the x-axis displayed in MM/DD/YY format. The date for the data ranges from 3/27/06 thru 11/10/08.
The trendline equation is
F(x)=-6E-13x^5+1E-07x^4-.0087*x^3+329.1*x^2-6E+06*x+5E+10
The data actually crosses the y=0 line around 11/5/07, which is the data root
When I use Goal Seek, I got a zero root solution of 28154.98. When I convert this to the date format, it converts to a date in 1981 which is not correct. I tried a range of initial guesses but they all converge to the same number.
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Jan 14, 2009
I am using solver to solve an optimisation problem I have. I need to apply a new solver to every populated row of my sheet. My solver code is as follows:
Sub solverloop()
SolverOk SetCell:="$Z$2", MaxMinVal:=3, ValueOf:="0", ByChange:="$N$2:$O$2"
SolverSolve
End Sub
The code above applies the solver to row 2. My sheet has roughly 500 populated rows. I need to write a macro to loop solver over each row, accept the solution provided by solver, then move to the next row. i would also like to close the loop automatically when the last populated row is reached.
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Nov 2, 2006
I'm trying to run a macro which will allow me to run solver and keep the solution.. I have managed to get the macro to work. However, does anyone knows how I can ensure that solver's solution can be automatically saved without prompting the user whether to save the solution?
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Nov 8, 2006
I am having problems with this excercise on my worksheet in my business computing class. I was wondering if someone could guide me through on how to use the solver feature.
Excercise:
Eve Blue is the manager of Southland Furniture store and she is planning a New Years Day sale. The store has only 75 square feet of space available to display and stock this merchandise. During the sale each folding table costs $5, retails for $11 and takes up two square feet of space. Each chair costs $4, retails for $9 and takes up one square foot of space. You must order at least one chair and one table and, of course, they must be whole units. The maximum amount allocated for purchasing the tables and chairs for the sale is $280. Eve cannot sell more than 40 chairs but the demand for tables is unlimited. Eve asked you to help her determine how many tables and chairs she should purchase in order to make the most profit.
Layout: (I marked in x's where I need to solve.)
TablesChairs
Unit Wholesale Cost $5.00 $4.00
Unit Retail Price $11.00 $9.00
Profit per Unit $6.00 $5.00
Square feet per Unit 2 1
Quantity to Order x x
Total Cost $- $-
Total Profit $- $-
Total Square Footage00
TOTAL ORDER COST $-
TOTAL ORDER PROFIT $-
TOTAL SPACE REQUIRED0
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Mar 23, 2007
At work, we have a spreadsheet that uses SOLVER.XLA in a macro. It works fine in Excel '97 but in Excel 2003 it simply does nothing. The code is
s = Application.LibraryPath & "solversolver.XLA"
On Error Resume Next
Workbooks.Open filename:=s
Application.ExecuteExcel4Macro String:="SOLVER.XLA!SOLVER.RESET()"
Application.ExecuteExcel4Macro String:="SOLVER.XLA!SOLVER.OK( PLOT!R46C4,2,0,(PLOT!R13C12:R14C12))"
Application.ExecuteExcel4Macro String:="SOLVER.XLA!SOLVER.OPTIONS(100,100,0.000001,FALSE,FALSE,2,1,1,0.05,TRUE)"
Application.ExecuteExcel4Macro String:="SOLVER.XLA!SOLVER.OK(PLOT!R46C4,2,0,(PLOT!R13C12:R14C12))"
Application.ExecuteExcel4Macro String:="SOLVER.XLA!SOLVER.SOLVE()"
ActiveSheet. Protect DrawingObjects:=False, Contents:=True, Scenarios _
:=True, password:="sigma"
It gives no error message, it simply does not do the calculations. (I took out the error handling line to make sure that there really were no errors being generated!)
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