On May 13, 2011, at 00:15 , Prof. John C Nash wrote: > Is this a homework problem in finding the largest eigensolution of W? >
Not as stated. It said "sum D = 1", not "sum D^2 =1". With a linear constraint, it looks like weighted least squares, but then you should be minimizing, not maximizing. As stated, I'd say that the objective is unbounded, so something is amiss... > If not, I'd be trying to maximize (D' W D)/ (D' D) > > using (n-1) values of D and setting one value to 1 -- hopefully a value that > is not going > to be zero. > > JN > > >> >> Date: Wed, 11 May 2011 17:28:54 -0300 >> From: Leonardo Monasterio <leonardo.monaste...@gmail.com> >> To: r-help@r-project.org >> Subject: [R] Problem with constrained optimization with maxBFGS >> Message-ID: <banlktimj0quyhgpa2ycmzo4zpkhgpom...@mail.gmail.com> >> Content-Type: text/plain >> >> Dear all, >> >> I need to maximize the v: >> >> v= D' W D >> >> >> D is a column vector ( n , 1) >> W is a given matrix (n, n) >> >> subject to: >> sum D= 1 >> >> (BTW, n is less than 300) >> I´ve tried to use maxBFGS, as follows: >> >> ##################################### >> objectiveFunction<-function(x) >> { >> return(t(D)%*%W%*%D) >> } >> >> Amat<-diag(nrow(D)) >> Amat<-rbind((rep(-1, nrow(D))), Amat) >> bvec<-matrix( c(0), nrow(D)+1, 1) >> bvec[1,1]<-c(1) >> startValues=rep(1/nrow(D),nrow(D)) #Istart value is homogeneous distribution >> res <<- maxBFGS(objectiveFunction, start=startValues, >> constraints=list(ineqA=Amat, ineqB=bvec)) >> ######################################## >> The outcome is equal to the startValues. I´ve tried several initial values >> and nothing changes. >> Please, what am I doing wrong? Any suggestion? >> >> Thanks a lot! >> >> Leo. >> >> [[alternative HTML version deleted]] >> >> >> >> - > > ______________________________________________ > R-help@r-project.org 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. -- Peter Dalgaard Center for Statistics, Copenhagen Business School Solbjerg Plads 3, 2000 Frederiksberg, Denmark Phone: (+45)38153501 Email: pd....@cbs.dk Priv: pda...@gmail.com ______________________________________________ R-help@r-project.org 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.