[R] Non-linearly constrained optimisation

[Gabor Grothendieck]

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
>>
>> Generally, this communication is for informational purposes only
>> and it is not intended as an offer or solicitation for the purchase
>> or sale of any financial instrument or as an official confirmation
>> of any transaction. In the event you are receiving the offering
>> materials attached below related to your interest in hedge funds or
>> private equity, this communication may be intended as an offer or
>> solicitation for the purchase or sale of such fund(s).  All market
>> prices, data and other information are not warranted as to
>> completeness or accuracy and are subject to change without notice.
>> Any comments or statements made herein do not necessarily reflect
>> those of JPMorgan Chase & Co., its subsidiaries and affiliates.
>>
>> This transmission may contain information that is privileged,
>> confidential, legally privileged, and/or exempt from disclosure
>> under applicable law. If you are not the intended recipient, you
>> are hereby notified that any disclosure, copying, distribution, or
>> use of the information contained herein (including any reliance
>> thereon) is STRICTLY PROHIBITED. Although this transmission and any
>> attachments are believed to be free of any virus or other defect
>> that might affect any computer system into which it is received and
>> opened, it is the responsibility of the recipient to ensure that it
>> is virus free and no responsibility is accepted by JPMorgan Chase &
>> Co., its subsidiaries and affiliates, as applicable, for any loss
>> or damage arising in any way from its use. If you received this
>> transmission in error, please immediately contact the sender and
>> destroy the material in its entirety, whether in electronic or hard
>> copy format. Thank you.
>> Please refer to http://www.jpmorgan.com/pages/disclosures for
>> disclosures relating to UK legal entities.
>>
>> ______________________________________________
>> R-help at r-project.org mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-help
>> PLEASE do read the posting guide
>> http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
>
>
>
> --
>
> DISCLAIMER: This email message and any accompanying atta...{{dropped:10}}
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>