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constraint optimization

1 message · Ingmar Visser

Ingmar Visser
# 
Dear All,

I have an optimization problem of the form:
l<=A*p<=u
where l and u are vectors of lower and upper bounds, p is a vector
of parameters and A a linear constraint matrix.

When l=u, it is easy to reparametrize in which case the result is a new set
of parameters p' to be optimized.

My problem is however that l!=u, ie it is mixed, l and u are equal for a
number of constraints and inequal for another set of constraints.

If I use the elements where l=u to reparametrize, I would like to know how
the inequality constraints translate in new inequality constraints for p',
because in that case I could use constrOptim to fit the inequality
constraints. 

Any help appreciated,
best, ingmar