[R] constraint optimization: solving large scale general nonlinear problems
Ravi Varadhan
rvaradhan at jhmi.edu
Fri Mar 27 23:03:02 CET 2009
Florin,
How do you obtain x from (Y, b), i.e. x = g(Y,b)?
I don't follow how a "discontinuity" is introduced, when you plug in x(Y, b) into f. If f(.) is smooth and all the g(.) are smooth, then the composition f(g(.)) will also be smooth. If this is not the case, what type of discontinuity do you have (e.g. f(.) is continuous, but its gradient is not, or f(.) itself has jump discontinuites)?
Ravi.
____________________________________________________________________
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 3:48 pm
Subject: Re: [R] constraint optimization: solving large scale general nonlinear problems
To: Ravi Varadhan <rvaradhan at jhmi.edu>
Cc: r-help <r-help at r-project.org>
> The number of variables is larger that the number of functions constraints.
> You are right I can rewrite my problem like this
>
> max f =h1(x11;x12;..;x1n;Y,b)+ h2(x21,x22, ... x2m;Y,b)
> x,b
>
> I know Y and for given values of b I can compute {x11, x1n}
> as
> one system of equations
> and {x21,x22 and x2m} as another system of equations. The x are functions
> of Y and b.
>
> I can solve these systems and after plug x(Y,b) in f(.) and find optimal
> b, but this will introduce discontinuity and I cannot find the optimal
> solution. I tried like this by using Rgenoud and SANN but both algorithms
> did not converge after 1 week!!!!!
> In my case the number of h functions are over 30.
>
> Florin
>
>
> On Fri, Mar 27, 2009 at 8:19 PM, Ravi Varadhan <rvaradhan at jhmi.edu> wrote:
>
> > Hi,
> >
> > 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.
> >
> > ____________________________________________________________________
> >
> > 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: 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.
> > > ____________________________________________________________________
> > >
> > > 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
> > > of
> > > > 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
> > > my
> > > > 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.
> >
> >
>
>
> --
> --
> 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 ---
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