[ADMB Users] constrained correlation matrices

[H. Skaug]

I have included the zero-constraint as part of a description of how
to parameterize covariance matrices.

http://www.admb-project.org/examples/admb-tricks/parameterization/covariance-matrices

Hans

On Thu, Nov 22, 2012 at 6:05 PM, dave fournier <davef at otter-rsch.com> wrote:
> Well I came across a paper  that was dealing with this problem but I can't
> find it now.
> More interesting is to extend the method to  constraints like
>
>     rho_ij = .7
>
> which I think can be done so long as the constraints are consistent.
>
> As another approach I think that more or less arbitrary consistent
> constraints
> can be implemented using augmented Lagrangian methods.
>
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