[R] constrained optimization -which package?

[Ravi Varadhan]

Please read the help page carefully, the very first line that describes the function says, "Minimise a function subject to linear inequality constraints".  OP has a problem with equality constraints:  sum(x) = 1.

Furthermore, if you want to solve a QP problem then it is better to use a dedicated QP algorithm than to use a general-purpose nonlinear optimization algorithm.

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: "Peng, C" <cpeng.usm at gmail.com>
Date: Tuesday, September 28, 2010 7:58 pm
Subject: Re: [R] constrained optimization -which package?
To: r-help at r-project.org


>  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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