[R] Non linear optimising with a linear equality constraints

Attiglah, Mama Mama_Attiglah at ssga.com
Wed Jan 30 18:01:32 CET 2008

Hi room, 
Is there any R package that solves a non linear objective pb, with
linear equality constraint? 

A simple example   
a =c (2, 5, 6, 7, 2) 

b = c (7, 1, 4, 5, 6) 

a and b are vectors of length 5

minimise f(x, a) = sum( (x-a)^2)  such that  sum( x*b) = 50. 

where x is the control variable. 
For your info, I believe the structure of these solvers:
nlm, nlimb, lp, optim, optimize, constrOptim, solveLP, solve.QP, etc... 
are not appropriate for it.
Solve.QP is the closest to a quad pb with inequality constraints which
when changed to two inequality constraints produces a degenerated
solution due to the fact that the Amat matrix's rows are dependent.



Mama Attiglah, PhD
Advanced Research Center
Quantitative Research Analyst
State Street Bank
+44(0)20 7698 6290 (Direct Line)
+44 (0)207 004 2968 (Direct Fax)
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