From pdbailey at umd.edu  Wed Jul  7 19:49:43 2010
From: pdbailey at umd.edu (Paul Bailey)
Date: Wed, 7 Jul 2010 10:49:43 -0700 (PDT)
Subject: [Rd] constrained optimization
In-Reply-To: <AANLkTimfVKwfyHBlZHcLxVnerBUyxsMOiz2haPO18Byx@mail.gmail.com>
References: <AANLkTimfVKwfyHBlZHcLxVnerBUyxsMOiz2haPO18Byx@mail.gmail.com>
Message-ID: <1278524983159-2281282.post@n4.nabble.com>


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.
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[Rd] constrained optimization
Paul Bailey