One option is to reparameterize to an unconstrained problem using the
transformation:
exp(betas_i) / sum(exp(betas_i)), with e.g., beta_1 = 0,
and then use optim() to maximize with respect to betas.
I hope it helps.
Best,
Dimitris
On 9/4/2011 7:50 AM, andre bedon wrote:
Hi Guys,
Does anyone know how I could constrain my regression coefficients so that they
are positive and add up to one? Any help will be greatly appreciated.
Kind Regards,
Andre
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Dimitris Rizopoulos
Assistant Professor
Department of Biostatistics
Erasmus University Medical Center
Address: PO Box 2040, 3000 CA Rotterdam, the Netherlands
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