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st: Constrained optimization in mata

From   Benjamin Villena Roldan <>
To   Statalist <>
Subject   st: Constrained optimization in mata
Date   Thu, 20 May 2010 14:34:00 -0400

Dear statalist,
I'm maximizing an unconstrained almost quadratic form function that looks like this
max -H*W*H'  where H=H(b)=[h1(b) h2(b) ... hn(b)]  and b is a vector of choice variables
I'm doing this task with optimize() in mata. I can do this with no problem
The next thing I need to do is to optimize under the constraint that a certain number of coefficients are zero, i.e. I need to impose b1=0 for b=(b1,b2). Of course, I can rewrite the problem imposing that condition (math is straightforward) but I think it is more practical in this case if I can use some feature of optimize() that allows me to impose that constraint. Any ideas?

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