[ADMB Users] constrained correlation matrices

dave fournier davef at otter-rsch.com
Wed Nov 21 11:34:20 PST 2012

I realized that it is possible to formulate constraint on a correlation 
of the form

                rho_i,j =0

for some i,j as an unconstrained problem.  To avoid degeneracy a 
quadratic penalty
is added for each constraint.  see the attached example code.

It also appears to provide a solution to this problem


if you start with the inverse of the correlation matrix instead.
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