[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:
l<=A*p<=u
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
constraints.
Any help appreciated,
best, ingmar
--
Ingmar Visser
Department of Psychology, University of Amsterdam
Roetersstraat 15, 1018 WB Amsterdam
The Netherlands
http://users.fmg.uva.nl/ivisser/
tel: +31-20-5256735
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