Why is adding "a multiple of log(A*theta-c) to the objective function ... a really bad idea as a way of faking equality constraints"?
I've used Lagrange multipliers on other occasions, but if computer time is cheaper than the time to work out the Lagrange multiplier approach, why is it a bad idea to add violation of constraints to the objective function? I've done it myself in the past and have gotten what looked like sensible results.
Best Wishes,
spencer gravesThomas Lumley wrote:
On Mon, 9 Aug 2004, Kahra Hannu wrote:
1) constrOptim does not work in this case because it only fits inequality
constraints, ie A%*%theta > = c
--- I was struggling with the same problem a few weeks ago in the portfolio optimization context. You can impose equality constraints by using inequality constraints >= and <= simultaneously. See the example bellow.
Ick. You do not want to use constrOptim for equality constraints. constrOptim is a log-barrier interior-point method, meaning that it adds a multiple of log(A%*%theta-c) to the objective function. This is a really bad idea as a way of faking equality constraints.
Use Lagrange multipliers and optim.
-thomas
______________________________________________
[EMAIL PROTECTED] mailing list
https://www.stat.math.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
______________________________________________ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
