
Hi,

I have struggled on this "bound optimization with equality constraint" by
using optim function for two days, but still fail to prepare a good input.
Can anyone help to prepare the input for my specific case? Many thanks.

Best,
Hao


On Sat, Nov 20, 2010 at 3:17 AM, Hans W Borchers [via R] <
ml-node+3051338-309339578-202837@n4.nabble.com<ml-node%2B3051338-309339578-202837@n4.nabble.com>
> wrote:

> dhacademic <at> gmail.com <dhacademic <at> gmail.com> writes:
>
> >
> >
> > Hi,
> >
> > I am a beginner of R. There is a question about constraint minimization.
> A
> > function, y=f(x1,x2,x3....x12), needs to be minimized. There are 3
> > requirements for the minimization:
> >
> > (1) x2+x3+...+x12=1.5 (x1 is excluded);
> > (2) x1=x3=x4;
> > (3) x1, x3 and x5 are in the range of -1~0, respectively. The rest
> variables
> > (x2, x4, x6, x7, ...., x12) are in the range of 0~1, respectively.
> >
> > The "optim" function is used. And part of my input is as follow, where
> > "xx1r" represents the x12:
> >
> > xx1r=1.5-x[2]-x[1]-x[1]-x[3]-x[4]-x[5]-x[6]-x[7]-x[8]-x[9]
> > start=rnorm(9)
> > up=1:9/1:9*1
> > lo=1:9/1:9*-1
> > out=optim(start,f,lower=lo,upper=up,method="L-BFGS-B",hessian=TRUE,
> > control=list(trace=6,maxit=1000))
> >
> > There are two problems in this input. the "up" and "lo" only define a
> range
> > of -1~1 for x1 to x11, which can not meet the requirement (3). In
> addition,
> > there is not any constraint imposed on x12. I have no idea how to specify
> a
> > matrix that can impose different constraints on individual variables in a
>
> > function. Any suggestion is highly appreciated.
> >
> > Best,
> > Hao
> >
>
> I don't see any direct need for real 'constraint' optimization here,
> it is a 'bounded' optimization where you are allowed to use
>
>     lower <- c(-1,0,-1,0,-1,0,0,0,0,0,0,0)
>     upper <- c( 0,1, 0,0, 0,1,1,1,1,1,1,1)
>
> Otherwise, your description is confusing:
>   (1) Did you change f to a new function with 9 variables, eliminating
>       x3, x4, and x12 ?
>   (2) x4 (being equal to x1) has to be in [-1, 0] but also in [0, 1]?
>   (3) If you need to restrict x12 to [0, 1] also, you cannot eliminate it.
>       Either keep x12 and use an equality constraint, or use inequality
>       constraints on xxlr.
>
> Hans Werner
>
> ______________________________________________
> [hidden email] <http://user/SendEmail.jtp?type=node&node=3051338&i=0>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.
>
>
> ------------------------------
>  View message @
> http://r.789695.n4.nabble.com/question-about-constraint-minimization-tp3050880p3051338.html
>
> To unsubscribe from question about constraint minimization, click here<http://r.789695.n4.nabble.com/template/NamlServlet.jtp?macro=unsubscribe_by_code&node=3050880&code=ZGhhY2FkZW1pY0BnbWFpbC5jb218MzA1MDg4MHwtNjM2Nzc0NA==>.
>
>

-- 
View this message in context: http://r.789695.n4.nabble.com/question-about-constraint-minimization-tp3050880p3053912.html
Sent from the R help mailing list archive at Nabble.com.

	[[alternative HTML version deleted]]

