[R] Define lower-upper bound for parameters in Optim using Nelder-Mead method

[(Ted Harding)]

On 01-May-2012 19:58:41 Arnaud Mosnier wrote:
> Dear UseRs,
> 
> Is there a way to define the lower-upper bounds for parameters
> fitted by optim using the Nelder-Mead method ?
> 
> Thanks,
> Arnaud

The Nelder-Mead method does not provide built-in capability
to set bounds on the range of paramaters. However, you can
achieve it "by hand" by re-defining the function being
minimised, so that it tests whether an out-of-range parameter
parameter value is being used.

If not out-of-range, then return the standard value of the function.
If out-of range, then return a very large value.

Nelder-Mead will very happily "bounce off" high walls of this
kind, and if the minimum of the function is at the wall will
happily converge as close to it as you please.

Hoping this helps,
Ted.

-------------------------------------------------
E-Mail: (Ted Harding) <Ted.Harding at wlandres.net>
Date: 01-May-2012  Time: 22:39:15
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