[R] Optimization inconsistencies

[Marc Girondot]

Le 18/05/12 00:14, Nathan Stephens a écrit :
> 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?
>
>
I had similar problem to solve (x were frequencies) and optimization 
stops before to reach the global maximum. As hwborchers at googlemail.com 
indicates, I fitted {x}-1 values because the last one is known by the 
equality constraint.
For the vector constraints, I used w <- -Inf when x goes out of the limits.

Finally I used Bayesian mcmc to get the convergence and it works much 
better.

I don't know why in this case the optim does not converge.

Hope it hepls,

Marc

-- 
__________________________________________________________
Marc Girondot, Pr

Laboratoire Ecologie, Systématique et Evolution
Equipe de Conservation des Populations et des Communautés
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