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From |
Alberto Dorantes <alberto.dorantes@finanzastec.net> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: optimize with unequality constraints |

Date |
Sun, 1 Apr 2012 09:41:24 -0500 |

Hi all. Is there a way to specify unequality constraints to the optimize function in Mata? I have f(p) as a function to maximize. I found a way to put an equality constraint (the sum of p[i] is equal to one), but I could not specify the non-negative constraint to each p[i] (p[i]>0). I read in Statalist that using logs can solve the problem, but I have not figure out how to transform my p vector to logs since I', afraid that my function will not work correctly. To be more specific, here is my code: mata: void retorno_ajustado(real scalar todo, real vector p, real vector R, real matrix COV, ret, grad, Hess) { ret= p*R' / sqrt(p*COV*p') } S = optimize_init() optimize_init_evaluator(S, &retorno_ajustado()) optimize_init_evaluatortype(S, "d0") optimize_init_params(S,(0,1)) C=J(1,2,1) c=(1) COV=st_matrix("COVA") R = [0.28, 0.19] optimize_init_argument(S,1,R) optimize_init_argument(S,2,COV) optimize_init_constraints(S,(C,c)) optimize(S) optimize_result_params(S) optimize_result_value(S) end (COVA is a Var-Cov matrix of 2x2) Thanks in advance! Carlos A. Dorantes * * 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/

**Follow-Ups**:**st: Re: optimize with unequality constraints***From:*Alberto Dorantes <alberto.dorantes@finanzastec.net>

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