[R] Can R solve this optimization problem?

Paul Smith phhs80 at gmail.com
Mon Jan 7 01:05:54 CET 2008

Dear All,

I am trying to solve the following maximization problem with R:

find x(t) (continuous) that maximizes the

integral of x(t) with t from 0 to 1,

subject to the constraints

dx/dt = u,

|u| <= 1,

x(0) = x(1) = 0.

The analytical solution can be obtained easily, but I am trying to
understand whether R is able to solve numerically problems like this
one. I have tried to find an approximate solution through
discretization of the objective function but with no success so far.

Thanks in advance,


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