[Rd] constrained optimization
dutangc at gmail.com
Thu Jul 8 15:11:11 CEST 2010
No I haven't tried to use L-BFGS-B algorithm with bounds. Let me check if a variable change can be used on my problem.
Le 7 juil. 2010 à 19:49, Paul Bailey a écrit :
> Have you considered using the optim function with L-BFGS-B for bounded
> optimization. Obviously, you will have to do changes of variables so that
> everything is in terms of a rectangle (which is the type of bounding that it
> I believe it is based on "A LIMITED MEMORY ALGORITHM FOR BOUND CONSTRAINED
> OPTIMIZATION" By Richard H Byrd, Peihuang Lu, Jorge Nocedal, and Ciyou Zhu.
> Technical Report NAM-08, May 1994.
> They also have a paper on the exact implementation. I also believe that R
> uses the code from Nocedal et al.
> View this message in context: http://r.789695.n4.nabble.com/constrained-optimization-tp2280809p2281282.html
> Sent from the R devel mailing list archive at Nabble.com.
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Ph.D. student at ISFA, Lyon, France
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