[R] Constrained non-linear optimisation

[Ravi Varadhan]

David,

I am not sure I completely understand your problem.  However, you can take a look at a couple of packages in R that can handle (smooth) nonlinear optimization with general (smooth) constraints:

library(alabama)
?constrOptim.nl

and

library(Rsolnp)
?solnp


Best,
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: Dennis Murphy <djmuser at gmail.com>
Date: Tuesday, August 24, 2010 4:44 pm
Subject: Re: [R] Constrained non-linear optimisation
To: David Beacham <d.beacham07 at imperial.ac.uk>
Cc: r-help at r-project.org


> Hi:
>  
>  A reasonable place to start would be the Optimization task view at CRAN:
>  
>  
>  
>  HTH,
>  Dennis
>  
>  On Tue, Aug 24, 2010 at 10:47 AM, David Beacham
>  <d.beacham07 at imperial.ac.uk>wrote:
>  
>  > I'm relatively new to R, but I'm attempting to do a non-linear maximum
>  > likelihood estimation (mle) in R, with the added problem that I 
> have a
>  > non-linear constraint.
>  >
>  > The basic problem is linear in the parameters (a_i) and has only one
>  > non-linear component, b, with the problem being linear when b = 0 and
>  > non-linear otherwise. Furthermore, f(a_i) <= b <= g(a_i) for some 
> (simple) f
>  > and g.
>  >
>  > Using optim, I can get the optimisation to work when the 
> non-linearity is
>  > included but not constrained, but gives poor results (as I'd expect).
>  > However, I'm not sure how best to go about the constraint 
> condition. My
>  > initial attempts revolve around the use of logarithmic barrier 
> function, but
>  > this only appears to work when using method="CG". When using 
> "BFGS", the
>  > value of b 'goes out of bounds' and the loglikelihood starts 
> throwing NaN,
>  > which is particularly bad if I want to box constrain the a_i using 
> the
>  > "L-BFGS-B" method.
>  >
>  > Are there any other methods/approaches/variations on the above 
> available to
>  > me in the form of other packages/R functions etc? Or any good
>  > references/books to help me out?
>  >
>  > Any help would be greatly appreciated,
>  > David.
>  >
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>  > 
>  > PLEASE do read the posting guide
>  > 
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>  PLEASE do read the posting guide 
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