[R] Optimization in R similar to MS Excel Solver

[Berend Hasselman]

On 26-10-2012, at 12:50, Richard James wrote:

> Dear Berend and Thomas,
> 
> thank you for suggesting the lsei function. I found that the tlsce {BCE}
> function also works very well:
> 
> library("BCE")
> tlsce(A=bmat,B=target)
> 
> The limSolve package has an 'xsample' function for generating uncertainty
> values via Monte-Carlo simulation, however it only works when specifying the
> standard deviation on the target data (B). In my situation I have standard
> deviations for the source areas (A) only. Therefore I need to generate the
> uncertainty values manually.
> 
> I've created a matrix of 1000 randonly distributed numbers for each of the
> source area (A) properties:
> 
> TSCa<-matrix(rnorm(1000, mean=0.03, sd=0.005),ncol=1)
> TSMg<-matrix(rnorm(1000, mean=0.0073, sd=0.002),ncol=1)
> CBCa<-matrix(rnorm(1000, mean=0.6, sd=0.1),ncol=1)
> CBMg<-matrix(rnorm(1000, mean=0.0102, sd=0.005),ncol=1)
> RCa<-matrix(rnorm(1000, mean=0.2, sd=0.05),ncol=1)
> RMg<-matrix(rnorm(1000, mean=0.0141, sd=0.005),ncol=1)
> DCa<-matrix(rnorm(1000, mean=0.35, sd=0.1),ncol=1)
> DMg<-matrix(rnorm(1000, mean=0.012, sd=0.004),ncol=1)
> 
> DistAll<-cbind(TSCa,TSMg,CBCa,CBMg,RCa,RMg,DCa,DMg)
> colnames(DistAll)<-c("TopSoilCa","TopSoilMg","ChannelBankCa","ChannelBankMg","RoadCa","RoadMg","DrainCa","DrainMg")
> 
> I now want to run the lsei model again:
> 
> lsei(A=bmat,B=target,E=matrix(rep(1,4),ncol=4),F=1,G=matrix(rep(1,4),ncol=4),H=0,
> fulloutput=TRUE))
> 

Actually the G and H arguments are wrong. They should be

G=diag(1,4)
H=rep(0,4)

since the weights should be >= 0

> but with A=bmat replaced by the appropriate random values in DistAll.  I
> assume I could then use the function "replicate" to then run the model 1000
> times to generate uncertainty values, e.g.
> 
> replicate(n=1000,lsei(A=bmat,B=target,E=matrix(rep(1,4),ncol=4),F=1,G=matrix(rep(1,4),ncol=4),H=0,
> fulloutput=TRUE))
> 
> Would anyone be able to help me write a function to replace bmat with new
> values from DistAll each time the lsei model is run?
> 


Maybe this will do what you need

Nrep <- 10  # fors testing

I think this is what you need

### start code

kRow <- 1
bmat <- matrix(DistAll[kRow,],ncol=4,byrow=FALSE)
bmat
target <- c("Ca in river(%)"=0.33,"Mg in river (%)"=0.0114)
target 

lsei(A=bmat,B=target,E=matrix(rep(1,4),ncol=4),F=1,G=diag(1,4),H=rep(0,4),fulloutput=TRUE)

gen.single <- function(k,Distall,target) {
    bmat <- matrix(DistAll[k,],ncol=4,byrow=FALSE)
    z <- lsei(A=bmat,B=target,E=matrix(rep(1,4),ncol=4),F=1,G=diag(1,4),H=rep(0,4),fulloutput=TRUE)
    # insert tests of  output of lsei to see if all is ok etc.
    z$X # weights
}

set.seed(2001)
t(sapply(1:Nrep, FUN=gen.single,Distall=Distall,target=target))

### end of code


And now you can do whatever you wish with the columns of the output matrix

Berend