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st: Optimization with constraints using Mata


From   "Bernd Albrecht" <albrecht@corporate-finance-mannheim.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Optimization with constraints using Mata
Date   Thu, 14 Aug 2008 17:45:29 +0200

Hi all, 

I try to run a nonlinear optimization with constraints using Mata.

The initial settings for the optimization include the following function to
specify the constraints:

optimize_init_constraints(S, real matrix Cc)  

where S=optimize_init() stores the default values.

The matrix Cc describes the constraints such that Cp'=c where p' is the
transpose of the parameter vector p.

(objective function: v=f(p) )

The problem I am facing refers to the equality sign in "Cp'=c". Apparently,
the optimization function supports 

only equality constraints.

However, I try to solve a program with inequality constraints. My
constraints are pretty simple such as p[1]>0 

and p[2]>-1. 

Is there a way to get around this problem?

Thank you for your considerations.

Bernd

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