[ADMB Users] constrained correlation matrices

H. Skaug hskaug at gmail.com
Thu Nov 22 05:21:12 PST 2012

This seems to be a generally useful tool, although not so common in application.
Good illustration that ADMB is flexible and can be extended!

Anyone who wants to write up an example and submit it to the example collection?



On Wed, Nov 21, 2012 at 8:34 PM, dave fournier <davef at otter-rsch.com> wrote:
> I realized that it is possible to formulate constraint on a correlation
> matrix
> 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
> https://stat.ethz.ch/pipermail/r-help/2010-March/230667.html
> if you start with the inverse of the correlation matrix instead.
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