[R] Optimization inconsistencies

peter dalgaard pdalgd at gmail.com
Fri May 18 01:28:32 CEST 2012


On May 18, 2012, at 00:14 , Nathan Stephens wrote:

> I have a very simple maximization problem where I'm solving for the vector
> x:
> 
> objective function:
> w'x = value to maximize
> 
> box constraints (for all elements of w):
> low < x < high
> 
> equality constraint:
> sum(x) = 1
> 
> But I get inconsistent results depending on what starting values I. I've
> tried various packages but none seem to bee the very solver in Excel. Any
> recommendations on what packages or functions I should try?

Sounds like a linear programming problem, so perhaps one of the packages that are specialized for that? lpSolve looks like it should do it.

(As a general matter: There's nothing simple about constrained maximization problems, and generic optimizers aren't really geared towards dealing with large sets of constraints.)

> 
> --Nathan
> 
> 	[[alternative HTML version deleted]]
> 
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.

-- 
Peter Dalgaard, Professor,
Center for Statistics, Copenhagen Business School
Solbjerg Plads 3, 2000 Frederiksberg, Denmark
Phone: (+45)38153501
Email: pd.mes at cbs.dk  Priv: PDalgd at gmail.com



More information about the R-help mailing list