tlumley at u.washington.edu
Thu Aug 2 17:27:07 CEST 2007
On Wed, 1 Aug 2007, Joanne Lee wrote:
> The constraints on the optimization problem are:
> 1 - components of potentialargmin must add to 1.
> 2 - each potentialargmin component must be (weakly) positive and
> (weakly) less than 1.
> 3 - potentialargmin %*% c(1,2,3,4,5,6,7,8,9) = 4.5
constrOptim() is not good at equality constraints, so constraints 1 and 3
would be better expressed by reparametrization. There is no need to
constrain the parameters to be positive as the function already goes
infinite at zero. Finally, if the parameters are non-negative there is no
need to constrain them to be <=1, as this is implied by the first
It might be interesting to find out if some automated Lagrange-multiplier
approach could be built into constrOptim() for equality constraints, but
it is not a high enough priority that I am likely to do it.
Thomas Lumley Assoc. Professor, Biostatistics
tlumley at u.washington.edu University of Washington, Seattle
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