I found this online.
sysuse auto, clear
mata:
void i_crit(todo,b,crit,g,H)
{
external y,X,W
m=X'(y-X*b')
crit=(m'*W*m)
}
y = st_data(., "price")
cons=J(rows(y),1,1)
X = st_data(., "weight length"), cons
W=cholinv(X'X)
init=J(1,cols(X),0)
S=optimize_init()
// build the constraint matrix
C = (1, 0, 0)
c = (0)
Cc = (C, c)
optimize_init_constraints(S,Cc)
optimize_init_evaluator(S, &i_crit())
optimize_init_which(S,"min")
optimize_init_evaluatortype(S,"d0")
optimize_init_params(S,init)
p=optimize(S)
p
end
constraint 1 weight = 0
cnsreg price weight length, constraints(1)
Would it be difficult to add constrained regression -asreg- ?
