[R] question about constraint minimization

Ravi Varadhan rvaradhan at jhmi.edu
Tue Nov 23 15:42:22 CET 2010 

You need to spend some time and learn the basics of R.  There are several
excellent tutorials available on the CRAN R-project website. This will be a
very good investment of your time.  After you have spent a couple of days
learning the basics, try using my package to solve your problem.  

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: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On
Behalf Of dhacademic at gmail.com
Sent: Tuesday, November 23, 2010 12:26 AM
To: r-help at r-project.org
Subject: Re: [R] question about constraint minimization


Dear Prof. Ravi Varadhan,

Many thanks for the reply. In my case, besides x1=x3, x1=x4 ("x1=x3=x4" was
used in last post), another constraint is needed, x2+x3+x4+...+x12=1.5. So
there are 9 variables.

I have downloaded your code, but I even do not know how to call your code in
R program. Actually, I know very little about R.  I spent lots of time to
read the R help files as well as lots of post on line, and finally prepared
the input file that I pasted in my last post. Unfortunately, it does not
work well. Can you please help to revise the input file that can work by
using the constrOptim function? Or can you plese show me how to call your
code in R and send me the input file?

Many thanks for your kind considerations!


Best,
Hao

On Mon, Nov 22, 2010 at 2:31 PM, Ravi Varadhan [via R] <
ml-node+3054297-1984476990-202837 at n4.nabble.com<ml-node%2B3054297-1984476990
-202837 at n4.nabble.com>
> wrote:

> I do not understand the constraint x1 = x3 = x4.  If this is correct, you
> only have 10 unknown parameters.
>
> If you can correctly formulate your problem, you can have a look at the
> packages "alabama" or "BB".  The function `auglag' in "alabama" or the
> function `spg' in "BB" may be useful.
>
> Ravi.
>
> -------------------------------------------------------
> Ravi Varadhan, Ph.D.
> Assistant Professor,
> Division of Geriatric Medicine and Gerontology School of Medicine Johns
> Hopkins University
>
> Ph. (410) 502-2619
> email: [hidden
email]<http://user/SendEmail.jtp?type=node&node=3054297&i=0>
>
>
> -----Original Message-----
> From: [hidden
email]<http://user/SendEmail.jtp?type=node&node=3054297&i=1>[mailto:[hidden
> email] <http://user/SendEmail.jtp?type=node&node=3054297&i=2>] On
> Behalf Of [hidden
email]<http://user/SendEmail.jtp?type=node&node=3054297&i=3>
> Sent: Monday, November 22, 2010 11:10 AM
> To: [hidden email] <http://user/SendEmail.jtp?type=node&node=3054297&i=4>
> Subject: Re: [R] question about constraint minimization
>
>
> Hi,
>
> I have struggled on this "bound optimization with equality constraint" by
> using optim function for two days, but still fail to prepare a good input.
> Can anyone help to prepare the input for my specific case? Many thanks.
>
> Best,
> Hao
>
>
> On Sat, Nov 20, 2010 at 3:17 AM, Hans W Borchers [via R] <
> [hidden email]
<http://user/SendEmail.jtp?type=node&node=3054297&i=5><ml-node%2B3051338-309
339578-2
>
> [hidden email] <http://user/SendEmail.jtp?type=node&node=3054297&i=6>>
>  > wrote:
>
> > dhacademic <at> gmail.com <dhacademic <at> gmail.com> writes:
> >
> > >
> > >
> > > Hi,
> > >
> > > I am a beginner of R. There is a question about constraint
> minimization.
> > A
> > > function, y=f(x1,x2,x3....x12), needs to be minimized. There are 3
> > > requirements for the minimization:
> > >
> > > (1) x2+x3+...+x12=1.5 (x1 is excluded);
> > > (2) x1=x3=x4;
> > > (3) x1, x3 and x5 are in the range of -1~0, respectively. The rest
> > variables
> > > (x2, x4, x6, x7, ...., x12) are in the range of 0~1, respectively.
> > >
> > > The "optim" function is used. And part of my input is as follow, where
> > > "xx1r" represents the x12:
> > >
> > > xx1r=1.5-x[2]-x[1]-x[1]-x[3]-x[4]-x[5]-x[6]-x[7]-x[8]-x[9]
> > > start=rnorm(9)
> > > up=1:9/1:9*1
> > > lo=1:9/1:9*-1
> > > out=optim(start,f,lower=lo,upper=up,method="L-BFGS-B",hessian=TRUE,
> > > control=list(trace=6,maxit=1000))
> > >
> > > There are two problems in this input. the "up" and "lo" only define a
> > range
> > > of -1~1 for x1 to x11, which can not meet the requirement (3). In
> > addition,
> > > there is not any constraint imposed on x12. I have no idea how to
> specify
> > a
> > > matrix that can impose different constraints on individual variables
in
>
> a
>
> >
> > > function. Any suggestion is highly appreciated.
> > >
> > > Best,
> > > Hao
> > >
> >
> > I don't see any direct need for real 'constraint' optimization here,
> > it is a 'bounded' optimization where you are allowed to use
> >
> >     lower <- c(-1,0,-1,0,-1,0,0,0,0,0,0,0)
> >     upper <- c( 0,1, 0,0, 0,1,1,1,1,1,1,1)
> >
> > Otherwise, your description is confusing:
> >   (1) Did you change f to a new function with 9 variables, eliminating
> >       x3, x4, and x12 ?
> >   (2) x4 (being equal to x1) has to be in [-1, 0] but also in [0, 1]?
> >   (3) If you need to restrict x12 to [0, 1] also, you cannot eliminate
> it.
> >       Either keep x12 and use an equality constraint, or use inequality
> >       constraints on xxlr.
> >
> > Hans Werner
> >
> > ______________________________________________
> > [hidden email]
> <http://user/SendEmail.jtp?type=node&node=3051338&i=0>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.
> >
> >
> > ------------------------------
> >  View message @
> >
>
>
http://r.789695.n4.nabble.com/question-about-constraint-minimization-tp30508
<http://r.789695.n4.nabble.com/question-about-constraint-minimization-tp3050
8?by-user=t>
> 80p3051338.html
> >
> > To unsubscribe from question about constraint minimization, click
> here<
>
http://r.789695.n4.nabble.com/template/NamlServlet.jtp?macro=unsubscrib<http
://r.789695.n4.nabble.com/template/NamlServlet.jtp?macro=unsubscrib&by-user=
t>
>
e_by_code&node=3050880&code=ZGhhY2FkZW1pY0BnbWFpbC5jb218MzA1MDg4MHwtNjM2Nzc0
>
> NA==>.
> >
> >
>
> --
> View this message in context:
>
>
http://r.789695.n4.nabble.com/question-about-constraint-minimization-tp30508
<http://r.789695.n4.nabble.com/question-about-constraint-minimization-tp3050
8?by-user=t>
> 80p3053912.html
> Sent from the R help mailing list archive at Nabble.com.
>
>         [[alternative HTML version deleted]]
>
> ______________________________________________
> [hidden email]
<http://user/SendEmail.jtp?type=node&node=3054297&i=7>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.
>
> ______________________________________________
> [hidden email]
<http://user/SendEmail.jtp?type=node&node=3054297&i=8>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.
>
>
> ------------------------------
>  View message @
>
http://r.789695.n4.nabble.com/question-about-constraint-minimization-tp30508
80p3054297.html
>
> To unsubscribe from question about constraint minimization, click
here<http://r.789695.n4.nabble.com/template/NamlServlet.jtp?macro=unsubscrib
e_by_code&node=3050880&code=ZGhhY2FkZW1pY0BnbWFpbC5jb218MzA1MDg4MHwtNjM2Nzc0
NA==>.
>
>

-- 
View this message in context:
http://r.789695.n4.nabble.com/question-about-constraint-minimization-tp30508
80p3054850.html
Sent from the R help mailing list archive at Nabble.com.

	[[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.

More information about the R-help mailing list