I am trying to solve the attached (very large) system of non-linear equations, ideally in R. As far as I can tell, the system cannot be transformed to be a quadratic program or a quadratic matrix equation. The analytic Jacobian of the system is straightforward to compute, but is very large and therefore methods like Broyden (nleqslv) do not scale well as T gets big. What might be a fast way to solve this? I have access to a computing cluster at a university. Thanks for the help
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Benny Goldman
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Try a large-scale NLP solver (either formulation). They will allow you to specify a lower bound on x. – Erwin Kalvelagen Feb 02 '23 at 05:07