[R] Optimization with constraint.

[Andreas Klein]

Hello.

I have some problems, when I try to model an
optimization problem with some constraints.

The original problem cannot be solved analytically, so
I have to use routines like "Simulated Annealing" or
"Sequential Quadric Programming".

But to see how all this works in R, I would like to
start with some simple problem to get to know the
basics:

The Problem:
min f(x1,x2)= (x1)^2 + (x2)^2
s.t. x1 + x2 = 1

The analytical solution:
x1 = 0.5
x2 = 0.5

Does someone have some suggestions how to model it in
R with the given functions optim or constrOptim with
respect to the routines "SANN" or "SQP" to obtain the
analytical solutions numerically?

Again, the simple example should only show me the
basic working of the complex functions in R.


Hope you can help me.


With regards
Andreas.


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