[R] Non-linearly constrained optimisation

[tolga.i.uzuner at jpmorgan.com]

Dear R Users,
I am looking for some guidance on setting up an optimisation in R with
non-linear constraints.

Here is my simple problem:
- I have a function h(inputs) whose value I would like to maximise
- the 'inputs' are subject to lower and upper bounds
- however, I have some further constraints: I would like to constrain the
values for two other separate function f(inputs) and g(inputs) to be within
certain bounds

This means the 'inputs' must not only lie within the bounds specified by
the 'upper' and 'lower' bounds, but they must also not take on values such
that f(inputs) and g(inputs) take on values outside defined values. h, f
and g are all non-linear.

I believe constroptim would work if f and g were linear. Alas, they are
not. Is there any other way I can achieve this in R ?

Thanks in advance,
Tolga

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