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quarta
2003 Oct 31
1
constrained nonlinear optimisation in R?
Hello. I have searched the archives but have not found anything. I
need to solve a constrained optimisation problem for a nonlinear
function (“maximum entropy formalism”). Specifically,
Optimise: -1*SUM(p_ilog(p_i)) for a vector p_i of probabilities,
conditional on a series of constraints of the form:
SUM(T_i*p_i)=k_i for given values of T_i and k_i (these are
constraints on