[R] nonlinear constrained optimization

Chua Siang Li siang.li.chua at acceval-intl.com
Tue Aug 19 09:35:39 CEST 2008

   Hi.  I need some advises on how to use R to find pi (i is the index) with
   the following objective function and constraint:

   max (sum i)[ f(ai, bi, pi) * g(ci, di, pi) * Di ]

   s.t.  (sum i)[ f(ai, bi, pi) * Di * pi] / (sum i)[ f(ai, bi, pi) * Di ]  <=

   f and g are diffentiable.
   So, I am thinking of optim with method = "BFGS"? But wonder how to include
   the constraint.
   I also saw constrOptim but it says for linear constraint only.
   So, what will be the suitable function to use then?
   Also, how should I write (sum i) in R?
   Many thanks and your help is much appreciated.
   Chua Siang Li
   Consultant - Operations Research
   Acceval Pte Ltd
   Tel: 6297 8740
   Email: siang.li.chua at acceval-intl.com
   Website: www.acceval-intl.com
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