[R] optimization subject to constraints

[Matthias Gondan]

  try this (package Rsolnp)

library(Rsolnp)

g<- function(x)
{
   return(x[1]^2+x[2]^2)
} # constraint

f<- function(x)
{
   return(x[1]+x[2])
} # objective function

x0 = c(1, 1)

solnp(x0, fun=f, eqfun=g, eqB=c(1))



Am 10.08.2010 14:59, schrieb Gildas Mazo:
> Thanks, but I still cannot get to solve my problem: consider this simple
> example:
>
> ########
>
> f<- function(x){
>    return(x[1]+x[2])
> } # objective function
>
> g<- function(x){
>    return(x[1]^2+x[2]^2)
> } # constraint
>
> #########
>
> I wanna Maximize f(x) subject to g(x) = 1. By hand the solution is
> (1/sqrt(2), 1/sqrt(2), sqrt(2)). This is to maximizing a linear function
> subject to a nonlinear equality constraint.  I didn't find any suitable
> function in the packages I went through.
>
> Thanks in advance,
>
> Gildas
>
>
>
>
>
> Spencer Graves a écrit :
>>         To find every help page containing the term "constrained
>> optimization", you can try the following:
>>
>>
>> library(sos)
>> co<- findFn('constrained optimization')
>>
>>
>>        "Printing" this "co" object opens a table in a web browser with
>> all matches sorted first by the package with the most matches and with
>> hot links to the documentation page.
>>
>>
>> writeFindFn2xls(co)
>>
>>
>>        This writes an excel file, with the browser table as the second
>> tab and the first being a summary of the packages.  This summary table
>> can be made more complete and useful using the "installPackages"
>> function, as noted in the "sos" vignette.
>>
>>
>>        A shameless plug from the lead author of the  "sos" package.
>>        Spencer Graves
>>
>>
>> On 8/9/2010 10:01 AM, Ravi Varadhan wrote:
>>> constrOptim can only handle linear inequality constraints.  It cannot
>>> handle
>>> equality (linear or nonlinear) as well as nonlinear inequality
>>> constraints.
>>>
>>> Ravi.
>>>
>>> -----Original Message-----
>>> From: r-help-bounces at r-project.org
>>> [mailto:r-help-bounces at r-project.org] On
>>> Behalf Of Dwayne Blind
>>> Sent: Monday, August 09, 2010 12:56 PM
>>> To: Gildas Mazo
>>> Cc: r-help at r-project.org
>>> Subject: Re: [R] optimization subject to constraints
>>>
>>> Hi !
>>>
>>> Why not constrOptim ?
>>>
>>> Dwayne
>>>
>>> 2010/8/9 Gildas Mazo<gildas.mazo at curie.fr>
>>>
>>>> Dear R users,
>>>>
>>>> I'm looking for tools to perform optimization subject to constraints,
>>>> both linear and non-linear. I don't mind which algorithm may be
>>>> used, my
>>>> primary aim is to get something general and easy-to-use to study
>>>> simples
>>>> examples.
>>>>
>>>> Thanks for helping,
>>>>
>>>> Gildas
>>>>
>>>> ______________________________________________
>>>> R-help at r-project.org mailing list
>>>> https://stat.ethz.ch/mailman/listinfo/r-help
>>>> PLEASE do read the posting guide
>>>>
>>> http://www.R-project.org/posting-guide.html<http://www.r-project.org/posting
>>>
>>> -guide.html>
>>>> and provide commented, minimal, self-contained, reproducible code.
>>>>
>>>      [[alternative HTML version deleted]]
>>>
>>> ______________________________________________
>>> R-help at r-project.org mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-help
>>> PLEASE do read the posting guide
>>> http://www.R-project.org/posting-guide.html
>>> and provide commented, minimal, self-contained, reproducible code.
>>>
>>> ______________________________________________
>>> R-help at r-project.org mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-help
>>> PLEASE do read the posting guide
>>> http://www.R-project.org/posting-guide.html
>>> and provide commented, minimal, self-contained, reproducible code.
>