[R] constraint optimization

Ingmar Visser i.visser at uva.nl
Mon May 16 15:23:30 CEST 2005

Dear All,

I have an optimization problem of the form:
where l and u are vectors of lower and upper bounds, p is a vector
of parameters and A a linear constraint matrix.

When l=u, it is easy to reparametrize in which case the result is a new set
of parameters p' to be optimized.

My problem is however that l!=u, ie it is mixed, l and u are equal for a
number of constraints and inequal for another set of constraints.

If I use the elements where l=u to reparametrize, I would like to know how
the inequality constraints translate in new inequality constraints for p',
because in that case I could use constrOptim to fit the inequality

Any help appreciated,
best, ingmar

Ingmar Visser
Department of Psychology, University of Amsterdam
Roetersstraat 15, 1018 WB Amsterdam
The Netherlands
tel: +31-20-5256735

More information about the R-help mailing list