[R] choosing constraints for function optim method="L-BFGS-B" when they are in terms of other parameter values
Prof Brian Ripley
ripley at stats.ox.ac.uk
Mon Jul 26 18:12:47 CEST 2004
Basically, you can't as L-BFGS-B implements box constraints and you don't
have a box.
You could run a nested optimization, the inner one being over the two
variables that you want to upper-bound. Contact me offline if that is not
clear to you.
On Mon, 26 Jul 2004, Tom Stone wrote:
> I have a function of several variables which I wish to minimise over four
> variables, two of the upper bounds for which are defined in terms of other
> variables in the model over which minimisation will take place. I cannot
> work out how to code this in such a way as to avoid getting an error message
> when I run the code.
Brian D. Ripley, ripley at stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595
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