[R] Optimization (MAX) with R

[ecatchpole]

Talarico Massimiliano (UniCredit Xelion Banca) wrote on 07/17/2007 06:00 
PM:
> Dear all,
> I need a suggest to obtain the max of this function:
>  
> Max x1*0.021986+x2*0.000964+x3*0.02913
>
>
>
> with these conditions:
>  
> x1+x2+x3=1;
> sqrt((x1*0.114434)^2+(x2*0.043966)^2+(x3*0.100031)^2)=0.04;
> x1>=0;
> x1<=1;
> x2>=0;
> x2<=1;
> x3>=0;
> x3<=1;
>  
> Any suggests ?
>   

Use Lagrange multipliers and do it analytically?

Ted.