[R] Non Linear Solver - Optim in R

[Ranjan Maitra]

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Ranjan


On Fri, 17 Jun 2016 08:51:59 -0500 Narendra Modi <bjpmodi2016 at gmail.com> wrote:

> Hello,
> Resending this message in "Plain-text".
> 
> Thank you for the add to the list.
> 
> I have written a R snippet to solve a non-linear problem using Optim solver.
> 
> The parameters to be solved are supposed to be in a matrix form as attached
> 
> such that summation of columns is <=1 except for the first column. ie,
> P1.F1j + P2.F1j <=1 ,  P1.F2j + P2.F2j <=1 ,  P1.F3j + P2.F3j <=1 and so
> on..
> 
> Since OPTIM solver considers "pars" only as vector, I defined the vector as
> 
> my.data.var <- vector("numeric",length = 12)
> 
> and in the OPTIM solver, I passed it as
> 
> optim(my.data.var, Error.func, method="L-BFGS-B",
> upper=c(Inf,1,1,1,1,1,Inf,1,1,1,1,1))
> 
> Then in the error function, I stacked the vector into a matrix as :
> 
> my.data.var.mat <- matrix(my.data.var,nrow = 2, ncol = 6,byrow = TRUE)
> 
> So, my first question is how do I define the constraints for each column
> except the first one in the OPTIM solver? As you can see, with the UPPER
> limit in the OPTIM solver, I can fix the upper bound, but there is no way
> for me set the summation constraint to <=1.
> 
> Do I need a different solver for this scenario which allows me to use
> Matrix elements as parameters?
> 
> Thanks!


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