[R] linear constraint optim with bounds/reparametrization

Thomas Lumley tlumley at u.washington.edu
Mon Aug 9 16:52:16 CEST 2004

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.


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