Hi, You can try a projected gradient approach, which is implemented in the spg() function in the "BB" package. You have to provide a projection function which will take an infeasible matrix as input and will give a feasible (i.e. positive-definite) matrix as output. This kind of matrix projection is quite easy to do, and in fact, there are functions in R to do this (e.g., see posdefify() function in "sfsmisc" package).
There is a recent review article on spectral projected gradient algorithm in J Statistical Software. http://www.jstatsoft.org/v60/i03 Hope this is helpful, Ravi [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
