The number of variables is larger that the number of functions constraints.
You are right I can rewrite my problem like this

max f =h1(x11;x12;..;x1n;Y,b)+ h2(x21,x22, ... x2m;Y,b)
 x,b

I know  Y  and  for  given values of  b  I can compute {x11,    x1n}  as
one  system of equations
and {x21,x22  and x2m} as another system of equations.   The x are functions
of  Y and b.

I can solve these systems and after plug x(Y,b) in  f(.)  and  find optimal
b, but this will introduce discontinuity  and I cannot find the optimal
solution. I tried like this by using Rgenoud and  SANN  but both algorithms
did not converge after 1 week!!!!!
In my case the number of h functions are over 30.

Florin


On Fri, Mar 27, 2009 at 8:19 PM, Ravi Varadhan <rvaradhan@jhmi.edu> wrote:

> Hi,
>
> Looking at your problem, it seems like you can simply transform it to an
> unconstrained problem:
>
> Maximize h(x1, x2, ..., xn)
>
> where h(x1, x2, ..., xn) = f(g1(x), g2(x), ..., gn(x)).
>
> Am I missing something or haven't you provided all the information?
>
> Ravi.
>
> ____________________________________________________________________
>
> Ravi Varadhan, Ph.D.
> Assistant Professor,
> Division of Geriatric Medicine and Gerontology
> School of Medicine
> Johns Hopkins University
>
> Ph. (410) 502-2619
> email: rvaradhan@jhmi.edu
>
>
> ----- Original Message -----
> From: Ravi Varadhan <rvaradhan@jhmi.edu>
> Date: Friday, March 27, 2009 2:42 pm
> Subject: Re: [R] constraint optimization: solving large scale general
> nonlinear problems
> To: Florin Maican <florin.maican@handels.gu.se>
> Cc: r-help <r-help@r-project.org>
>
>
> > Can you tell us more about your obj function, f, and the equality
> > constraints g_k?
> >
> >  Do you really have as many equality constraints as the number of
> > variables?  Are these all non-linear?  Can't you find the roots of
> > this system of equations?  If yes, you could find all the roots (with
> > multiple starts or some other search technique) and choose the one
> > that maximizes f(x).
> >
> >  Ravi.
> >  ____________________________________________________________________
> >
> >  Ravi Varadhan, Ph.D.
> >  Assistant Professor,
> >  Division of Geriatric Medicine and Gerontology
> >  School of Medicine
> >  Johns Hopkins University
> >
> >  Ph. (410) 502-2619
> >  email: rvaradhan@jhmi.edu
> >
> >
> >  ----- Original Message -----
> >  From: Florin Maican <florin.maican@handels.gu.se>
> >  Date: Friday, March 27, 2009 2:01 pm
> >  Subject: [R] constraint optimization: solving large scale general
> > nonlinear problems
> >  To: r-help <r-help@r-project.org>
> >
> >
> >  > Hi
> >  >
> >  >  I need advice regarding constraint optimization with large number
> > of
> >  >  variables.
> >  >
> >  >  I need to solve the following problem
> >  >
> >  >     max      f(x1,...,xn)
> >  >    x1,..xn
> >  >
> >  >      x1=g1(x1,...,xn)
> >  >      .
> >  >      .
> >  >      xn=gn(x1,...,xn)
> >  >
> >  >  I am using Rdonlp2  package which works well until 40 variables in
> > my
> >  >  case. I need to solve this problem with over 300 variables. In
> > this case
> >  >  Rdonlp2 is very  very slowly. I know that in Matlab exists  Knitro
> >  >  ( for large optimization problems.
> >  >
> >  >  It will be great if you can suggest me some alternatives solutions.
> >  >
> >  >
> >  >  Thanks in advance,
> >  >  Florin
> >  >
> >  >
> >  >
> >  >  --
> >  >           Florin G. Maican
> >  >  ==================================
> >  >
> >  >  Ph.D. candidate,
> >  >  Department of Economics,
> >  >  School of Business, Economics and Law,
> >  >  Gothenburg University, Sweden
> >  >  -----------------------------------
> >  >      P.O. Box 640 SE-405 30,
> >  >      Gothenburg, Sweden
> >  >
> >  >   Mobil:  +46 76 235 3039
> >  >   Phone:  +46 31 786 4866
> >  >   Fax:    +46 31 786 4154
> >  >   Home Page:
> >  >   E-mail: florin.maican@handels.gu.se
> >  >  ------------------------------------
> >  >   "Not everything that counts can be
> >  >   counted, and not everything that can be
> >  >   counted counts."
> >  >                           --- Einstein ---
> >  >
> >  >  ______________________________________________
> >  >  R-help@r-project.org mailing list
> >  >
> >  >  PLEASE do read the posting guide
> >  >  and provide commented, minimal, self-contained, reproducible code.
> >
> >  ______________________________________________
> >  R-help@r-project.org mailing list
> >
> >  PLEASE do read the posting guide
> >  and provide commented, minimal, self-contained, reproducible code.
>
>


-- 
--
       Florin G. Maican
==================================

Ph.D. candidate,
Department of Economics,
School of Business, Economics and Law,
Gothenburg University, Sweden
-----------------------------------
  P.O. Box 640 SE-405 30,
  Gothenburg, Sweden

Mobil:  +46 76 235 3039
Phone:  +46 31 786 4866
Fax:    +46 31 786 4154
Home Page: http://maicanfg.googlepages.com/index.html
E-mail: florin.maican@handels.gu.se
------------------------------------
"Not everything that counts can be
counted, and not everything that can be
counted counts."
                       --- Einstein ---

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