Hello, I have a follow-up from Jens's question and Professor Ripley's response.
Jens wants to do quadratic optimization with 2 constraints: > > > # I need two constraints: > > > # 1. each element in par needs to be between 0 and 1 > > > # 2. sum(par)=1, i.e. the elements in par need to sum to 1 how does one set both constraints in quadprog, per Prof. Ripley's suggestion? i know how to get quadprog to handle the second constraint, but not BOTH, since quadprog only takes as inputs the constraint matrix "A" and constraint vector "b"-- unlike in "ipop" (kernlab), there is no additional option for box constraints. apologies if i am not seeing something obvious here. thanks in advance, alexis On 10/19/05, Jens Hainmueller <[EMAIL PROTECTED]> wrote: > > > > -----Ursprüngliche Nachricht----- > > Von: Prof Brian Ripley [mailto:[EMAIL PROTECTED] > > Gesendet: Thursday, October 13, 2005 2:46 AM > > An: Jens Hainmueller > > Cc: r-help@stat.math.ethz.ch > > Betreff: Re: [R] Optim with two constraints > > > > This is actually quadratic programming, so why do you want to > > use optim()? > > There are packages specifically for QP, e.g. quadprog. > > > > A more general approach is to eliminate one variable, which > > gives you an inequality constrained problem in n-1 variables > > to which you could apply contrOptim(). Other > > re-parametrizations (e.g. of weights as a log-linear model) > > will work provided none of the parameters are going to be > > zero at the optimum (one cannot be one without all the others > > being zero). > > > > On Wed, 12 Oct 2005, Jens Hainmueller wrote: > > > > > Hi R-list, > > > > > > I am new to optimization in R and would appreciate help on the > > > following question. I would like to minimize the following function > > > using two > > > constraints: > > > > > > ###### > > > fn <- function(par,H,F){ > > > > > > fval <- 0.5 * t(par) %*% H %*% par + F%*% par > > > fval > > > > > > } > > > > > > # matrix H is (n by k) > > > # matrix F is (n by 1) > > > # par is a (n by 1) set of weights > > > > > > # I need two constraints: > > > # 1. each element in par needs to be between 0 and 1 # 2. > > sum(par)=1 > > > i.e. the elements in par need to sum to 1 > > > > > > ## I try to use optim > > > res <- optim(c(runif(16),fn, method="L-BFGS-B", H=H, F=f > > > ,control=list(fnscale=-1), lower=0, upper=1) ###### > > > > > > If I understand this correctly, using L-BFGS-B with lower=0 and > > > upper=1 should take care of constraint 1 (box constraints). > > What I am > > > lacking is the skill to include constraint no 2. > > > > > > I guess I could solve this by reparametrization but I am > > not sure how > > > exactly. I could not find (i.e. wasn't able to infer) the answer to > > > this in the archives despite the many comments on optim and > > > constrained optimization (sorry if I missed it there). I am > > using version 2.1.1 under windows XP. > > > > > > Thank you very much. > > > > > > Jens > > > > > > ______________________________________________ > > > R-help@stat.math.ethz.ch mailing list > > > https://stat.ethz.ch/mailman/listinfo/r-help > > > PLEASE do read the posting guide! > > > http://www.R-project.org/posting-guide.html > > > > > > > -- > > Brian D. Ripley, [EMAIL PROTECTED] > > Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ > > University of Oxford, Tel: +44 1865 272861 (self) > > 1 South Parks Road, +44 1865 272866 (PA) > > Oxford OX1 3TG, UK Fax: +44 1865 272595 > > > > ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
