[R] parameter-restrictions in OPTIM

[Patrick Burns]

One trick is to add a penalty to your function for
violations of the linear constraint.  However, if the
constraint is binding, then gradient methods may
not perform well since the objective won't be
differentiable there.  If the constraint looks to be
binding, then you can reparameterize to a single
parameter.


Patrick Burns
patrick at burns-stat.com
+44 (0)20 8525 0696
http://www.burns-stat.com
(home of S Poetry and "A Guide for the Unwilling S User")

Florian Staab wrote:

>Hallo, I'm trying to optimize a function A which calls another function B
>internally.
>
>This function A has got two input parameters, say a1 and a2.
>
>Using OPTIM there ist no problem restricting these parameters:
>
>0 <= a1 <= 1 and 0 <= a2 <= 1.
>
>My problem is an additional restriction 
>
>0 <= a1+a2 <= 1.
>
>I'd be grateful if you could show me an easy way to find a solution using
>OPTIM? 
>
>If not, which other function is applicable?
>
> 
>
>Thanks for your help,
>
>Florian Staab
>
> 
>
> 
>
> 
>
>  _____  
>
>Dipl.-Kfm. Florian Staab
>Universität Osnabrück
>Fachbereich Wirtschaftswissenschaften
>Statistik / Empirische Wirtschaftsforschung
>
>Rolandstr. 8 (Raum 208)
>D-49069 Osnabrück
>Tel: 0541-969-2756
>Fax: 0541-969-12756
>Email: florian.staab at uos.de
>Homepage: http://nts4.oec.uni-osnabrueck.de/stat1/stat1.htm 
>
>  _____  
>
> 
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