Hello !
I want to minimise a function but with a constraint that i fail several time to insert.
Can any one help please? below are some fake figures to run the optimization.
*start value: u = 0.05; v = 0.3; xi = 0.2; r = - 0.5; m = 0.1;
*input variable: k = c(10,15,20,25,30,35,40,45,50,55,60)
*true value of fun: c(0.000729340273972603, 0.000784865621917808, 0.000701278101369863,
0.000845759473972603, 0.000695066432876712, 0.000945239802739726,
0.000705536095890411, 0.0010238459260274, 0.000724702191780822,
0.00116548326575342, 0.000781495898630137)
*variables to estimate: c(u,v,xi,r,m)
*obj function:
fun <- function(u,v,xi,r,m,k){
return(u + v ( r(k-m) + sqrt((k-m)^2 + xi^2)) )
}
*constraints : u + v * xi *sqrt(1-r^2) >0 & v>0 & xi >0 abs(r) <1