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Inequality constraints and Lagrange multipliers
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Inequality constraints and Lagrange multipliers
by eta » Thu Jan 07, 2016 1:10 pm
Hi everybody, I'm trying to simulate a perfect foresight model with three complementary slackness conditions. Dynare (seemingly) solves the model but the inequality constraints are not satisfied: in some time periods, lambda2 and lambda3 become slightly negative, which should not happen. Does anyone know an alternative way to enforce these constraints, possibly without resorting to the penalty method ? Thanks.
Last edited by eta on Sat Jan 16, 2016 3:18 pm, edited 2 times in total.
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Re: Inequality constraints and Lagrange multipliers
by jpfeifer » Sun Jan 10, 2016 4:45 pm
Do I understand you correctly that the problem is that Lagrange multipliers that should only be positive become negative at some points in time?
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