[R] Optimization with linear constraints
Prof Brian Ripley
ripley at stats.ox.ac.uk
Mon Jan 22 10:03:49 CET 2001
On Mon, 22 Jan 2001, [iso-8859-1] Julio Gómez wrote:
> I'd like to know if there's a way to minimize a non linear function in R
> subject to some linear restrictions Ax=b
> I have tried to use optim() but it doesn't seem to be able to do it.
Just use Ax = b to reduce the dimension of x. It's not something you
should expect software to do for you.
> Or, by Lagrange multipliers, solve some non linear equations simultaneously.
Don't turn an optimization problem into a root-finding problem: it is
Brian D. Ripley, ripley at stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272860 (secr)
Oxford OX1 3TG, UK Fax: +44 1865 272595
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