[R] constrOptim parameters

[Ravi Varadhan]

Ivo,

Do you only have "box" constraints, i.e. upper and lower bounds on the
parameters themselves?  If so, you do not need to use `constrOptim'.  You
could use "L-BFGS-B" in `optim' or `nlminb' or `spg'.

You are mistaken about how `ui' is set up.  It should be a matrix with
dimension, Ni x p, where Ni is the number of inequality constraints and p is
the number of parameters.  So, in your case it should be a 2N x N matrix.  

Read the help carefully. 

Ravi.

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Ravi Varadhan, Ph.D.

Assistant Professor, The Center on Aging and Health

Division of Geriatric Medicine and Gerontology 

Johns Hopkins University

Ph: (410) 502-2619

Fax: (410) 614-9625

Email: rvaradhan at jhmi.edu

Webpage:
http://www.jhsph.edu/agingandhealth/People/Faculty_personal_pages/Varadhan.h
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-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On
Behalf Of ivo welch
Sent: Friday, September 11, 2009 4:21 PM
To: r-help
Subject: [R] constrOptim parameters

Dear R wizards:   I am playing (and struggling) with the example in the
constrOptim function.  simple example.  let's say I want to constrain my
variables to be within -1 and 1.    I believe I want a whole lot of
constraints where ci is -1 and ui is either -1 or 1.  That is, I have 2*N
constraints.  Should the following work?

N=10
x= rep(1:N)
ci= rep(-1, 2*N)
ui= c(rep(1, N), rep(-1, N))
constrOptim( x, f, NULL, ui, ci, method="Nelder-Mead");

actually, my suggestions would be to give an example in the constrOptim docs
where the number of constraints is something like this example.  the current
ones have 2*2 constraints, so it is harder to figure out the appropriate
dimensions for different cases by extending the examples.  on another note,
the "non-conformable arguments" error could be a little more informative,
telling the end user what the two incompatible dimensions actually are.
this is not hard to find out by hand, but it would still be useful.

regards,

/iaw
-- 
Ivo Welch (ivo.welch at brown.edu, ivo.welch at gmail.com)

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