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pieps
2004 Aug 09
4
linear constraint optim with bounds/reparametrization
Hello All,
I would like to optimize a (log-)likelihood function subject to a number of
linear constraints between parameters. These constraints are equality
constraints of the form A%*%theta=c, ie (1,1) %*% 0.8,0.2)^t = 1 meaning
that these parameters should sum to one. Moreover, there are bounds on the
individual parameters, in most cases that I am considering parameters are
bound between zero