As a first try, use a bounds constrained method (L-BFGS-B or one from
the r-forge Optimizer project
http://r-forge.r-project.org/R/?group_id=395) and then add a penalty or
barrier function to your objective function to take care of the
x1+x2 < 1 (the other end is implicit in the lower bounds on x1 and x2).
e.g., - const * log(1-x1-x2)
You should provide a feasible starting point. const scales the penalty.
Cheers, JN
Message: 27
Date: Sat, 17 Oct 2009 13:50:10 -0700 (PDT)
From: kathie <kathryn.lord2...@gmail.com>
Subject: [R] optimization problem with constraints...
To: r-help@r-project.org
Message-ID: <25941686.p...@talk.nabble.com>
Content-Type: text/plain; charset=us-ascii
Dear R users,
I need some advises on how to use R to optimize a nonlinear function with
the following constraints.
f(x1,x2,x3,x4,x5,x6)
s.t
0 < x1 < 1
0 < x2 < 1
0 < x1+x2 < 1
-inf < x3 < inf
-inf < x4 < inf
0 < x5 < inf
0 < x6 < inf
Is there any built-in function or something for these constraint??
Any suggestion will be greatly appreciated.
Regards,
Kathryn Lord
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