Re: [R] Imposing Feller condition using project constraint in spg

Hi Ravi, Thank you for your reply and please excuse my late response. Plugging w2’ = k/w1’ from (A) into (B) yields (C) f(w1') = (w1-w1’)^2 + (w2-k/w1’)^2 The partial derivative wrt w1' is (D) df(w1')/ dw1' = -2(w1-w1’) + 2(w2-k/w1’)*k/(w1')^2 in order for this to be a minimum the f.o.c. df(w

Re: [R] Imposing Feller condition using project constraint in spg

Hi Kristian, The idea behind projection is that you take an iterate that violates the constraints and project it onto a point such that it is the nearest point that satisfies the constraints. Suppose you have an iterate (w1, w4) that does not satisfy the constraint that w1 * w4 != (1 + eps)/2.

[R] Imposing Feller condition using project constraint in spg

Dear R-users, I'm running a maximization problem in which I want to impose a condition on the relationship between 2 parameters. The condition is that w[4] = (1+eps)/(2*w[1]), or equivalently w[4]*w[1] = (1+eps)/2 , where eps is some small positive constant. I've been trying to formulate a functi