[R] Fine tunning rgenoud

[Ravi Varadhan]

Paul,

It should be easy enough to check that your solution is valid (i.e. a local
minimum):  first, check to see if the solution satisfies all the
constraints; secondly, check to see if it is an interior point (i.e. none of
the constraints become equality); and finally, if the solution is an
interior point, check to see whether the gradient there is close to zero.
Note that if the solution is one of the vertices of the polyhedron, then the
gradient may not be zero.

Ravi.

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Ravi Varadhan, Ph.D.

Assistant Professor, The Center on Aging and Health

Division of Geriatric Medicine and Gerontology 

Johns Hopkins University

Ph: (410) 502-2619

Fax: (410) 614-9625

Email: rvaradhan at jhmi.edu

Webpage:  http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html

 

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-----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 5:10 PM
To: R-help
Subject: Re: [R] Fine tunning rgenoud

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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> PLEASE do read the posting guide
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>

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