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constraints
2012 Sep 17
2
Constraint Optimization with constrOptim
...Estimates
fkt <- function(x) {t(x) %*% covarianceMatrix %*% x}
#The constraints
#The results should be greater 0 !DOES NOT WORK!
constraint1 <- x[1:9]
#The summ of the results should be between 0.999 and 1.001
constraint2 <- sum(matrixStartingEstimatesNegativ)
constraint3 <- sum(x)
constraintMatrix <- rbind(constraint1, constraint2, constraint3)
constraintVektor <- c(0, -1.00001, 0.99999)
#Optimization
constrOptim(startingEstimates, fkt, NULL, ui = constraintMatrix, ci = constraintVektor)
#------------------------SOLVER-END------------------------...