Dear Prof. Ravi Varadhan,
Many thanks for the reply. In my case, besides x1=x3, x1=x4 ("x1=x3=x4" was
used in last post), another constraint is needed, x2+x3+x4+...+x12=1.5. So
there are 9 variables.
I have downloaded your code, but I even do not know how to call your code in
R program. Actually, I know very little about R. I spent lots of time to
read the R help files as well as lots of post on line, and finally prepared
the input file that I pasted in my last post. Unfortunately, it does not
work well. Can you please help to revise the input file that can work by
using the constrOptim function? Or can you plese show me how to call your
code in R and send me the input file?
Many thanks for your kind considerations!
Best,
Hao
On Mon, Nov 22, 2010 at 2:31 PM, Ravi Varadhan [via R] <
ml-node+3054297-1984476990-202...@n4.nabble.com<ml-node%2b3054297-1984476990-202...@n4.nabble.com>
> wrote:
> I do not understand the constraint x1 = x3 = x4. If this is correct, you
> only have 10 unknown parameters.
>
> If you can correctly formulate your problem, you can have a look at the
> packages "alabama" or "BB". The function `auglag' in "alabama" or the
> function `spg' in "BB" may be useful.
>
> Ravi.
>
> -------------------------------------------------------
> Ravi Varadhan, Ph.D.
> Assistant Professor,
> Division of Geriatric Medicine and Gerontology School of Medicine Johns
> Hopkins University
>
> Ph. (410) 502-2619
> email: [hidden email]<http://user/SendEmail.jtp?type=node&node=3054297&i=0>
>
>
> -----Original Message-----
> From: [hidden
> email]<http://user/SendEmail.jtp?type=node&node=3054297&i=1>[mailto:[hidden
> email] <http://user/SendEmail.jtp?type=node&node=3054297&i=2>] On
> Behalf Of [hidden email]<http://user/SendEmail.jtp?type=node&node=3054297&i=3>
> Sent: Monday, November 22, 2010 11:10 AM
> To: [hidden email] <http://user/SendEmail.jtp?type=node&node=3054297&i=4>
> Subject: Re: [R] question about constraint minimization
>
>
> 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] <
> [hidden email]
> <http://user/SendEmail.jtp?type=node&node=3054297&i=5><ml-node%2B3051338-309339578-2
>
> [hidden email] <http://user/SendEmail.jtp?type=node&node=3054297&i=6>>
> > 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
> >
> > ______________________________________________
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