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const_vec
2010 Dec 06
1
How to formulate constraint like abs(x) = y in constrOptim (or other)
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
Sum(Abs(x_i))<=limit
But I have no idea how I could get such a conditio...