Message-ID: <20051128152226.9786.qmail@web26801.mail.ukl.yahoo.com>
Date: 2005-11-28T15:22:25Z
From: Florent Bresson
Subject: optimization with inequalities
I have to estimate the following model for several
group of observations :
y(1-y) = p[1]*(x^2-y) + p[2]*y*(x-1) + p[3]*(x-y)
with constraints :
p[1]+p[3] >= 1
p[1]+p[2]+p[3]+1 >= 0
p[3] >= 0
I use the following code :
func <- sum((y(1-y) - p[1]*(x^2-y) + p[2]*y*(x-1) +
p[3]*(x-y))^2)
estim <- optim( c(1,0,0),func, method="L-BFGS-B" ,
lower=c(1-p[3], -p[1]-p[3]-1, 0) )
and for some group of observations, I observe that the
estimated parameters don't respect the constraints,
espacially the first. Where's the problem please ?