[R] Non-linearly constrained optimisation

[Hans W. Borchers]

Please have a look at the 'Rdonlp2' package at <http://arumat.net/Rdonlp2/>. 
It provides non-linear optinization with nonlinear constraints, so it may be
exactly what you are looking for. 

Whether this algorithm is powerful enough for your task has to be seen. 
There are examples on the Web page that will enable a quick start.

You did not give information about the complexity of your task, nor whether
you are seeking local or global solutions.

Hans Werner Borchers
ABB Corporate Research



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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Hans W. Borchers
ABB Corporate Research Germany
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