[R] Fine tunning rgenoud

[Paul Smith]

On 7/3/07, Ravi Varadhan <rvaradhan at jhmi.edu> wrote:
> You had indicated in your previous email that you are having trouble finding
> a feasible starting value for constrOptim().  So, you basically need to
> solve a system of linear inequalities to obtain a starting point.  Have you
> considered using linear programming? Either simplex() in the "boot" package
> or solveLP() in "linprog" would work.  It seems to me that you could use any
> linear objective function in solveLP to obtain a feasible starting point.
> This is not the most efficient solution, but it might be worth a try.
>
> I am aware of other methods for generating n-tuples that satisfy linear
> inequality constraints, but AFAIK those are not available in R.

Thanks, Ravi. I had already conceived the solution that you suggest,
actually using "lpSolve". I am able to get a solution for my problem
with constrOptim, but I am not enough confident that the solution is
right. That is why I am trying to get a solution with rgenoud, but
unsuccessfully until now.

Paul



> -----Original Message-----
> From: r-help-bounces at stat.math.ethz.ch
> [mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Paul Smith
> Sent: Tuesday, July 03, 2007 4:10 PM
> To: R-help
> Subject: [R] Fine tunning rgenoud
>
> Dear All,
>
> I am trying to solve the following maximization problem, but I cannot
> have rgenoud giving me a reliable solution.
>
> Any ideas?
>
> Thanks in advance,
>
> Paul
>
> ----------------------------
> library(rgenoud)
>
> v <- 0.90
> O1 <- 10
> O2 <- 20
> O0 <- v*O1+(1-v)*O2
>
> myfunc <- function(x) {
>   U0 <- x[1]
>   U1 <- x[2]
>   U2 <- x[3]
>   q0 <- x[4]
>   q1 <- x[5]
>   q2 <- x[6]
>   p <- x[7]
>
>   if (U0 < 0)
>     return(-1e+200)
>   else if (U1 < 0)
>     return(-1e+200)
>   else if (U2 < 0)
>     return(-1e+200)
>   else if ((U0-(U1+(O1-O0)*q1)) < 0)
>     return(-1e+200)
>   else if ((U0-(U2+(O2-O0)*q2)) < 0)
>     return(-1e+200)
>   else if ((U1-(U0+(O0-O1)*q0)) < 0)
>     return(-1e+200)
>   else if ((U1-(U2+(O2-O1)*q2)) < 0)
>     return(-1e+200)
>   else if((U2-(U0+(O0-O2)*q0)) < 0)
>     return(-1e+200)
>   else if((U2-(U1+(O1-O2)*q1)) < 0)
>     return(-1e+200)
>   else if(p < 0)
>     return(-1e+200)
>   else if(p > 1)
>     return(-1e+200)
>   else if(q0 < 0)
>     return(-1e+200)
>   else if(q1 < 0)
>     return(-1e+200)
>   else if(q2 < 0)
>     return(-1e+200)
>   else
> return(p*(sqrt(q0)-(O0*q0+U0))+(1-p)*(v*(sqrt(q1)-(O1*q1+U1))+(1-v)*(sqrt(q2
> )-(O2*q2+U2))))
>
> }
> genoud(myfunc,nvars=7,max=T,pop.size=6000,starting.values=runif(7),wait.gene
> rations=150,max.generations=300,boundary.enforcement=2)
>
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