[R] constrained nonlinear optimisation in R?

[Simon Wood]

> Hello.  I have searched the archives but have not found anything.  I
> need to solve a constrained optimisation problem for a nonlinear
> function (“maximum entropy formalism”).  Specifically,
>
> Optimise: -1*SUM(p_ilog(p_i)) for a vector p_i of probabilities,
> conditional on a series of constraints of the form:
>
> SUM(T_i*p_i)=k_i  for given values of T_i and k_i  (these are
> constraints on expectations).
>
A better answer may exist to this question, but here goes anyway....
Could you use sequential quaratic programming here (i.e. just constrain
the QP problem generated at each iterate of Newton's method)? There's an R
library for quadratic programming....

Simon

_____________________________________________________________________
> Simon Wood simon at stats.gla.ac.uk        www.stats.gla.ac.uk/~simon/
>>  Department of Statistics, University of Glasgow, Glasgow, G12 8QQ
>>>   Direct telephone: (0)141 330 4530          Fax: (0)141 330 4814