Have you considered using the optim function with L-BFGS-B for bounded optimization. Obviously, you will have to do changes of variables so that everything is in terms of a rectangle (which is the type of bounding that it accepts).
I believe it is based on "A LIMITED MEMORY ALGORITHM FOR BOUND CONSTRAINED OPTIMIZATION" By Richard H Byrd, Peihuang Lu, Jorge Nocedal, and Ciyou Zhu. Technical Report NAM-08, May 1994. They also have a paper on the exact implementation. I also believe that R uses the code from Nocedal et al. -- View this message in context: http://r.789695.n4.nabble.com/constrained-optimization-tp2280809p2281282.html Sent from the R devel mailing list archive at Nabble.com. ______________________________________________ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel
