[R] constrained optimization

Christophe Pouzat christophe.pouzat at univ-paris5.fr
Fri May 20 18:27:26 CEST 2005

gael.robert at socgen.com wrote:

>I've got to compute a minimization equation under an equality constraint
>(Min g(x1,x2,x3) with x1+x2=const). The Constroptim function does not
>authorize an equality condition but only inequality conditions. Which
>function can I use instead?

What about trying to minimize, g(x1, const-x1, x3), by defining a new 
function like:

g.new <- function(para, const) g(para[1], const-para[1], para[2])

where para would be an array with 2 components, the first corresponding 
to x1 and the second to x3. Then optim(par = my.para, fn = g.new, const 
= my.const) should do the job, where my.para is the vector of initial 
guesses for x1 and x3 and my.const is the value of x1+x2.

Does that help?


Christophe Pouzat
Laboratoire de Physiologie Cerebrale
UFR biomedicale de l'Universite Paris V
45, rue des Saints Peres
75006 PARIS

tel: +33 (0)1 42 86 38 28
fax: +33 (0)1 42 86 38 30
web: www.biomedicale.univ-paris5.fr/physcerv/C_Pouzat.html

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