[R] Regression coefficient constraints

Dimitris Rizopoulos d.rizopoulos at erasmusmc.nl
Sun Sep 4 10:55:16 CEST 2011


One option is to reparameterize to an unconstrained problem using the 
transformation:

exp(betas_i) / sum(exp(betas_i)), with e.g., beta_1 = 0,

and then use optim() to maximize with respect to betas.

I hope it helps.

Best,
Dimitris



On 9/4/2011 7:50 AM, andre bedon wrote:
>
> Hi Guys,
> Does anyone know how I could constrain my regression coefficients so that they are positive and add up to one? Any help will be greatly appreciated.
> Kind Regards,
> Andre 		 	   		
> 	[[alternative HTML version deleted]]
>
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-- 
Dimitris Rizopoulos
Assistant Professor
Department of Biostatistics
Erasmus University Medical Center

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