This is 'linear programming'. Try
RSiteSearch("linear programming")
The first few fits will give you a lot to explore.
On Thu, 13 Nov 2008, Yun, Myung Ho wrote:
Dear All,
First of all, this is the first time for me to use R for optimization, I
tried to search r-help postings & googled on weighted sum optimization,
I could not find anything applicable.
I would need to optimize following function in R;
MAXIMIZE
function = w1*R1 + w2*R2 + w3*R3 + w4*R4
Where constraints are,
w1 + w2 + w3 + w4 = 1 and 0 <= w1, w2, w3, w4 <= 1
Does optim in R can do this optimization? If so, could anyone show me
how to use 'optim()' in R?
Thank you in advance and regards,
Myung
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