[R] optimization problem with constraints..
Prof. John C Nash
nashjc at uottawa.ca
Sun Oct 18 16:15:12 CEST 2009
Apologies if this shows up a second time with uninformative header
(apparently it got filtered, but ...), as I forgot to replace the
As a first try, use a bounds constrained method (L-BFGS-B or one from
the r-forge Optimizer project
http://r-forge.r-project.org/R/?group_id=395) and then add a penalty or
barrier function to your objective function to take care of the
x1+x2 < 1 (the other end is implicit in the lower bounds on x1 and x2).
e.g., - const * log(1-x1-x2)
You should provide a feasible starting point. const scales the penalty.
> Message: 27
> Date: Sat, 17 Oct 2009 13:50:10 -0700 (PDT)
> From: kathie <kathryn.lord2000 at gmail.com>
> Subject: [R] optimization problem with constraints...
> To: r-help at r-project.org
> Message-ID: <25941686.post at talk.nabble.com>
> Content-Type: text/plain; charset=us-ascii
> Dear R users,
> I need some advises on how to use R to optimize a nonlinear function with
> the following constraints.
> 0 < x1 < 1
> 0 < x2 < 1
> 0 < x1+x2 < 1
> -inf < x3 < inf
> -inf < x4 < inf
> 0 < x5 < inf
> 0 < x6 < inf
> Is there any built-in function or something for these constraint??
> Any suggestion will be greatly appreciated.
> Kathryn Lord -- View this message in context:
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