[R] Non-Linear Optimization - Query
phhs80 at gmail.com
Tue Mar 17 02:54:32 CET 2009
On Tue, Mar 17, 2009 at 12:09 AM, Lars Bishop <lars52r at gmail.com> wrote:
> I couple of weeks ago, I’ve asked for a package recommendation for nonlinear
> optimization. In my problem I have a fairly complicated non-linear objective
> function subject to one non-linear equality constrain.
> I’ve been suggested to use the *Rdonlp2* package, but I did not get any
> results after running the program for 5 hrs. Is it normal to run this type
> of programs for hours? Also, I’d like to ask the experts whether there is
> any other alternative I could use to solve this. For example, can I define a
> Lagrange function (add lambda as a parameter) and use optim() or any other
> optimization function?
Are your objective function and your constraint differentiable? If so,
then construct the Lagrangean and get the system of equations for
calculating the first order conditions. This nonlinear system of
equations can be solved with the package BB (by Ravi Varadhan).
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