[R] optimization problem with constraints..

[Prof. John C Nash]

Apologies if this shows up a second time with uninformative header 
(apparently it got filtered, but ...), as I forgot to replace the 
subject line.

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.

Cheers, JN



 > 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.
 >
 > f(x1,x2,x3,x4,x5,x6)
 > s.t
 > 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.
 >
 > Regards,
 >
 > Kathryn Lord -- View this message in context: 
http://www.nabble.com/optimization-problem-with-constraints...-tp25941686p25941686.html 
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