[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,
Paul
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