[R] constrained optimization -which package?

Peng, C cpeng.usm at gmail.com
Wed Sep 29 01:57:55 CEST 2010


constrOptim()  can do linear and quadratic programming problems!  See the
following example from the help document.   
 
    ## Solves linear and quadratic programming problems
     ## but needs a feasible starting value
     #
     # from example(solve.QP) in 'quadprog'
     # no derivative
     fQP <- function(b) {-sum(c(0,5,0)*b)+0.5*sum(b*b)}
     Amat       <- matrix(c(-4,-3,0,2,1,0,0,-2,1),3,3)
     bvec       <- c(-8,2,0)
     constrOptim(c(2,-1,-1), fQP, NULL, ui=t(Amat),ci=bvec)
     # derivative
     gQP <- function(b) {-c(0,5,0)+b}
     constrOptim(c(2,-1,-1), fQP, gQP, ui=t(Amat), ci=bvec)
     
     ## Now with maximisation instead of minimisation
     hQP <- function(b) {sum(c(0,5,0)*b)-0.5*sum(b*b)}
     constrOptim(c(2,-1,-1), hQP, NULL, ui=t(Amat), ci=bvec,
                 control=list(fnscale=-1))

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