[R] optimization with bounds on parameters

John C Nash nashjc at uottawa.ca
Tue Nov 25 19:41:40 CET 2008

There have been several posts about optimizations where the parameters 
for the objective function are bounds-constrained. Brian Ripley took my 
1990 "Compact numerical methods for computers" codes and p2c'd them to 
give the CG and BFGS and (possibly, I should check!) the Nelder Mead 
code. However, I have for use by myself and colleagues prepared variants 
of the codes that allow bounds constraints and also what I call "masks", 
that is, fixed values of some parameters. The latter feature is often 
useful when a parameter is usually fixed e.g., by legislation or 
pegging, like an exchange rate, but may later be allowed to float. The 
bounds are most helpful in forcing the user (us!) to think about scale. 
I've also noticed they really do avoid some of the wild excursions 
through parameter space and speed up convergence.

If anyone is interested in these possibilities, perhaps they could 
contact me off-list and we can decide if there is sufficient willingness 
to try to add the functionality in a graceful way. That is, we should 
encourage but not require masks and bounds, and should make sure that 
existing uses are not inconvenienced.


John Nash

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