[R] constrained optimization -which package?

[Hans W. Borchers]

Leonardo Monasterio <leonardo.monasterio <at> gmail.com> writes:

> 
> 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


I do not see why you would take the trouble to use constraint optimization 
here. Use x_n as a dependent variable, x_n <- 1 - sum(x), x an (n-1)-dim. 
vector, define another function f1(x) <- f(c(x, 1-sum(x))) appropriately, and 
apply optim() without constraints.

Hans Werner


> 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.
> 
>