[R] constraint optimization

From: Ingmar Visser <i.visser_at_uva.nl>
Date: Mon 16 May 2005 - 23:23:30 EST


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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Received on Mon May 16 23:38:43 2005

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