[R] constrained optimization -which package?

Leonardo Monasterio leonardo.monasterio at gmail.com
Tue Sep 28 19:41:28 CEST 2010


Dear R users,

I want to find the maximum value of v,  subject to the constrain that
the sum of x is equal to 1.
So, I want to maximize:
v<-t(x)%*%distance%*%x

Subject to:
sum(x)=1

Where:
"x" is a vector n X 1
"distance" is a matrix n*n and it is given.
(In practive, the number of n can go up to hundreds.)

I have a bit of experience using R but not much on optimization
techniques or on R optimization packages.  I have taken a look at
optim and nlminb, but I am confused.
 Do you have any suggestion on how to do it?
Thank you very much,
Leo  Monasterio.



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