Hi, The constrOptim function used "Nelder-Mead" for the inner iterations, when gradient is not specified. Nelder-Mead is not good when you have a non-small number of parameters. I would sugest that you specify method = "BFGS" in the call to constrOptim. This might help.
Ravi. ---------------------------------------------------------------------------- ------- Ravi Varadhan, Ph.D. Assistant Professor, The Center on Aging and Health Division of Geriatric Medicine and Gerontology Johns Hopkins University Ph: (410) 502-2619 Fax: (410) 614-9625 Email: rvarad...@jhmi.edu Webpage: http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html ---------------------------------------------------------------------------- -------- -----Original Message----- From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On Behalf Of dre968 Sent: Thursday, April 23, 2009 4:22 PM To: r-help@r-project.org Subject: Re: [R] Stuck using constrOptim Sorry for the not enough info. the code seems to work for 10 or so variables but stops optimizing if i give it anymore than that. #Load data Data <- read.table......csv',head=TRUE,sep=",",stringsAsFactors = FALSE) #Load goal variables. this is what i'm trying to minimize to Z<-read.table....csv',head=TRUE,sep=",",stringsAsFactors = FALSE) #set array Y<-array(0,dim=c(nrow(Data),15)) #load applicable values into array for(j in 1:15){ for(k in 1:nrow(Data)){ Y[k,j] = Data[k,3+j] } } #set constraint A <- array(0,dim=c(2+nrow(Y),nrow(Y))) B <- array(0,dim=c(2+nrow(Y),1)) # Constraint for total = 100% for(w in 1:nrow(Data)){ A[1,w] = 1 A[2,w] = -1 } #each value in x must be greater than 0 for(i in 1:nrow(Data)){ A[i+2,i] = 1 B[i+2] = -.00001 } B[1,1] = .999 B[2,1] = -1.001 #initial guess p0<- array(0,dim=c(nrow(Data))) p0[1] = .5 p0[2] = .5000001 #objective function minsquare<-function(x,Y,Z){sum((x %*% Y - Z)^2)} #Optimization with constraints constrOptim(p0,minsquare,Y=Y,Z=Z,NULL,ui=A,ci=B) here is the code. -- View this message in context: http://www.nabble.com/Stuck-using-constrOptim-tp23197912p23200221.html Sent from the R help mailing list archive at Nabble.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. ______________________________________________ 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.