[R] How to set parameters constraints in a function?

[Ravi Varadhan]

There are many ways to impose the constraint:

1.  Use a constrained optimization routine (e.g. "constrOptim")
2.  Reparametrize alpha and kappa such that the inequality will be always
satisfied
3. Re-define your log-likelihood by putting a barrier such that the
optimization algorithm will not venture into the constrained space.  You can
add a line to your log-likelihood, for example:  
	ll <- if (alpha <= kappa) -Inf else {whatever you already have} 

Hope this helps,
Ravi.

-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On
Behalf Of Carol Gao
Sent: Monday, May 24, 2010 8:32 AM
To: R-help at r-project.org
Subject: [R] How to set parameters constraints in a function?

Dear R list,

I have a function specifying my log-likelihood, and now I need to set the
constraint that *alpha > kappa*, could anyone help me with setting this in
my function?

the function is defined as follows:

mll <- function(param){
  n <- length(x)
  psi <- numeric(n)
  psi[1] <- 1.0
  a0 <- exp(param[1]); a1 <-exp(param[2]); b1 <- exp(param[3]); *alpha *<-
exp(param[4]); *kappa *<- exp(param[5]);

  for (i in 2:n) {psi[i] <- a0 + a1*x[i-1] + b1*psi[i-1]}
  lam <- gamma(kappa)/gamma(kappa+(1/alpha))
  ll <-
n*log(alpha/gamma(kappa))+kappa*alpha*sum(log(x))-n*kappa*alpha*log(lam)-kap
pa*alpha*sum(log(psi))-lam^(-alpha)*sum((x/psi)^alpha)
  return(list(maxl=-ll,vpsi=psi))
}

Thanks in advance!!

Cheers,

Carol

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