Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: Constrained optimization in mata


From   Benjamin Villena Roldan <benjaminvillena@hotmail.com>
To   Statalist <statalist@hsphsun2.harvard.edu>
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?
 
Thanks
 
Benjamin 		 	   		  
_________________________________________________________________


*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index