On 8/9/04 4:52 PM, "Thomas Lumley" <[EMAIL PROTECTED]> wrote:
> On Mon, 9 Aug 2004, Kahra Hannu wrote: > >>> 1) constrOptim does not work in this case because it only fits inequality >>> constraints, ie A%*%theta > = c >> --- I was struggling with the same problem a >> few weeks ago in the portfolio optimization context. You can impose >> equality constraints by using inequality constraints >= and <= >> simultaneously. See the example bellow. >> > > Ick. You do not want to use constrOptim for equality constraints. > constrOptim is a log-barrier interior-point method, meaning that it adds > a multiple of log(A%*%theta-c) to the objective function. This is a really > bad idea as a way of faking equality constraints. > > Use Lagrange multipliers and optim. Is there a package that does all that for me? Or is there example code that does something similar? ingmar ______________________________________________ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
