[R] Non-linearly constrained optimisation

Gabor Grothendieck ggrothendieck at gmail.com
Sun Jul 20 05:25:36 CEST 2008


The Ryacas package is an interface between
R and the computer algebra system, yacas.
It includes an R to yacas parser/translator and an
OpenMath/XML to R parser/translator.
See:
http://ryacas.googlecode.com


On Sat, Jul 19, 2008 at 11:03 PM, Stuart Nettleton
<stuart.nettleton at optusnet.com.au> wrote:
> Tolga,
> Your issue seems to be a common one at present. While I am relatively new to
> R (and would welcome being corrected), I haven't been able to find an
> existing module to parse algebraic equations and build acyclic networks (for
> the objective function and each constraint) to submit to solving routines
> (such as optim, BB, Patrick Burns' genopt from S Poetry, Algencan etc).
>  Certainly there are the components to build one, for example topological
> sort packages like mathgraph and Carter Butts' network. I have implemented
> acyclic networks in three major projects and so I have started to
> contemplate the missing package in both R and Mathematica. At this point I
> am significantly further advanced in Mathematica, building from Eric
> Swanson's excellent perturbationAIM package. Yet it seems slightly odd to me
> that the required functionality hasn't been developed in R up to this point
> in time. Many people need this functionality, the network algorithms have
> been around for forty years and there are many solvers, even open source
> ones like ipopt. Of course, the "big guns" in this field are GAMS and AMPL
> and it is perhaps their overwhelming presence or respect for the developers
> of these packages that has led R developers to be somewhat cautious about
> releasing code in this area. However, there are already alternatives. For a
> quasi open source version of AMPL you could use Dr Ampl
> (http://www.gerad.ca/~orban/drampl/ ) or write your problem in GAMS or AMPL
> format and submit to the Neos server either directly
> (http://neos.mcs.anl.gov/neos/) or by using pyneos.py
> (www.gerad.ca/~orban/pyneos/pyneos.py). I really hope this gets worked out
> in R at some stage!
> Stuart
>
> On Sun, 20 Jul 2008 08:10:35 +1000, <tolga.i.uzuner at jpmorgan.com> wrote:
>
>> 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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