[R] How to formulate constraint like abs(x) = y in constrOptim (or other)

Benjamin B. benj.bad.ac at googlemail.com
Mon Dec 6 16:43:12 CET 2010

Hello list reader,

I am trying to form some constraints for an optimization I am working on.
I think I have understand the use of the constraints in matrix form. I use
them like:

constr_mat<- -diag(2)
constr_vec<- rep(-0.05,2)

constr_mat<- rbind(constr_mat, diag(2))
constr_vec<- c(constr_vec, rep(-1, 2))

To get parameters in the interval [-1, 0.05]. (And this works so far)
Now I would like to formulate a constraint like


But I have no idea how I could get such a condition by using the matrix
constraint formulation.

I have already searched the help, web and all searchable R resources I could
find, but got no helping result.

Is constrOptim the right function to use?

Maybe you can give me a hint or can point me to a good description of
constraint handling.

Greetings and thanks in advance,


Benjamin B.
Hamburg, Germany

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