[R] constrained optimization -which package?
Leonardo Monasterio
leonardo.monasterio at gmail.com
Tue Sep 28 22:47:59 CEST 2010
Dear R users,
In the function bellow I want to find the maximum value of v,
subject to the constrain that the sum of x is equal to 1.
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 practice, 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 quite confused.
Do you have any suggestion on how to do it?
Thank you very much,
Leo Monasterio.
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