[R] constraint optimization: solving large scale general nonlinear problems
rvaradhan at jhmi.edu
Fri Mar 27 20:19:25 CET 2009
Looking at your problem, it seems like you can simply transform it to an unconstrained problem:
Maximize h(x1, x2, ..., xn)
where h(x1, x2, ..., xn) = f(g1(x), g2(x), ..., gn(x)).
Am I missing something or haven't you provided all the information?
Ravi Varadhan, Ph.D.
Division of Geriatric Medicine and Gerontology
School of Medicine
Johns Hopkins University
Ph. (410) 502-2619
email: rvaradhan at jhmi.edu
----- Original Message -----
From: Ravi Varadhan <rvaradhan at jhmi.edu>
Date: Friday, March 27, 2009 2:42 pm
Subject: Re: [R] constraint optimization: solving large scale general nonlinear problems
To: Florin Maican <florin.maican at handels.gu.se>
Cc: r-help <r-help at r-project.org>
> Can you tell us more about your obj function, f, and the equality
> constraints g_k?
> Do you really have as many equality constraints as the number of
> variables? Are these all non-linear? Can't you find the roots of
> this system of equations? If yes, you could find all the roots (with
> multiple starts or some other search technique) and choose the one
> that maximizes f(x).
> Ravi Varadhan, Ph.D.
> Assistant Professor,
> Division of Geriatric Medicine and Gerontology
> School of Medicine
> Johns Hopkins University
> Ph. (410) 502-2619
> email: rvaradhan at jhmi.edu
> ----- Original Message -----
> From: Florin Maican <florin.maican at handels.gu.se>
> Date: Friday, March 27, 2009 2:01 pm
> Subject: [R] constraint optimization: solving large scale general
> nonlinear problems
> To: r-help <r-help at r-project.org>
> > Hi
> > I need advice regarding constraint optimization with large number
> > variables.
> > I need to solve the following problem
> > max f(x1,...,xn)
> > x1,..xn
> > x1=g1(x1,...,xn)
> > .
> > .
> > xn=gn(x1,...,xn)
> > I am using Rdonlp2 package which works well until 40 variables in
> > case. I need to solve this problem with over 300 variables. In
> this case
> > Rdonlp2 is very very slowly. I know that in Matlab exists Knitro
> > ( for large optimization problems.
> > It will be great if you can suggest me some alternatives solutions.
> > Thanks in advance,
> > Florin
> > --
> > Florin G. Maican
> > ==================================
> > Ph.D. candidate,
> > Department of Economics,
> > School of Business, Economics and Law,
> > Gothenburg University, Sweden
> > -----------------------------------
> > P.O. Box 640 SE-405 30,
> > Gothenburg, Sweden
> > Mobil: +46 76 235 3039
> > Phone: +46 31 786 4866
> > Fax: +46 31 786 4154
> > Home Page:
> > E-mail: florin.maican at handels.gu.se
> > ------------------------------------
> > "Not everything that counts can be
> > counted, and not everything that can be
> > counted counts."
> > --- Einstein ---
> > ______________________________________________
> > R-help at r-project.org mailing list
> > PLEASE do read the posting guide
> > and provide commented, minimal, self-contained, reproducible code.
> R-help at r-project.org mailing list
> PLEASE do read the posting guide
> and provide commented, minimal, self-contained, reproducible code.
More information about the R-help