Arie Beresteanu wrote:
>
> Hi,
>
> Estimation of linear (multivariate) regression with equality constrains
> on the coefficients is a well known problem (at least for me). What
> about if the constrains are inequalities? More specifically:
>
> Y=Xb+e
> s.t.
> Qb<=q
>
> where Q is a matrix and q is a vector. (for example Y=b0+b1*X1+b2*X2+e
> s.t. b1+2*b2>=0 )
>
> How do I solve that? How do I test the constrain? Is there something on
> MatLab/STATA/SAS for that?
>
> Thank you,
> Arie.
The SPSS procedure CNLR (constrained non-linear regression) handles this
kind of problem directly, using a quadratic programming solver.
Jonathan Fry
SPSS Inc.
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