[R] Stuck using constrOptim

[Ravi Varadhan]

Hi,

The constrOptim function used "Nelder-Mead" for the inner iterations, when
gradient is not specified.  Nelder-Mead is not good when you have a
non-small number of parameters.  I would sugest that you specify method =
"BFGS" in the call to constrOptim.  This might help.  

Ravi.


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Ravi Varadhan, Ph.D.

Assistant Professor, The Center on Aging and Health

Division of Geriatric Medicine and Gerontology 

Johns Hopkins University

Ph: (410) 502-2619

Fax: (410) 614-9625

Email: rvaradhan at jhmi.edu

Webpage:  http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html

 

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-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On
Behalf Of dre968
Sent: Thursday, April 23, 2009 4:22 PM
To: r-help at r-project.org
Subject: Re: [R] Stuck using constrOptim


Sorry for the not enough info.  the code seems to work for 10 or so
variables but stops optimizing if i give it anymore than that.

#Load data
Data <- read.table......csv',head=TRUE,sep=",",stringsAsFactors = FALSE)
#Load goal variables.  this is what i'm trying to minimize to
Z<-read.table....csv',head=TRUE,sep=",",stringsAsFactors = FALSE)

#set array
Y<-array(0,dim=c(nrow(Data),15))

#load applicable values into array
for(j in 1:15){
	for(k in 1:nrow(Data)){
		Y[k,j] = Data[k,3+j]
		}
	}
#set constraint

A <- array(0,dim=c(2+nrow(Y),nrow(Y)))
B <- array(0,dim=c(2+nrow(Y),1))

# Constraint for total = 100%
for(w in 1:nrow(Data)){
	A[1,w] = 1
	A[2,w] = -1
	}
#each value in x must be greater than 0
for(i in 1:nrow(Data)){
	A[i+2,i] = 1
	B[i+2] = -.00001
}

B[1,1] = .999
B[2,1] = -1.001
#initial guess
p0<- array(0,dim=c(nrow(Data)))

p0[1] = .5
p0[2] = .5000001

#objective function
minsquare<-function(x,Y,Z){sum((x %*% Y - Z)^2)}


#Optimization with constraints
constrOptim(p0,minsquare,Y=Y,Z=Z,NULL,ui=A,ci=B)


here is the code.  



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