On 7/4/07, RAVI VARADHAN <[EMAIL PROTECTED]> wrote: > Here is another approach: I wrote an R function that would generate interior > points as starting values for constrOptim. This might work better than the > LP approach, since the LP approach gives you a starting value that is on the > boundary of the feasible region, i.e a vertex of the polyhedron, whereas this > new approach gives you points on the interior. You can generate as many > points as you wish, but the approach is brute-force and is very inefficient - > it takes on the order of a 1000 tries to find one feasible point.
Thanks again, Ravi. Actually, the LP approach also works here. Let g(X) >= k be the constraints. Then, by solving a LP problem with the constraints g(X) >= (k+0.2) returns an interior starting value for constrOptim. I am aware that the new set of constraints may correspond to an impossible linear system, but it works in many cases. Paul > ----- Original Message ----- > From: Paul Smith <[EMAIL PROTECTED]> > Date: Tuesday, July 3, 2007 7:32 pm > Subject: Re: [R] Fine tunning rgenoud > To: R-help <r-help@stat.math.ethz.ch> > > > > On 7/4/07, Ravi Varadhan <[EMAIL PROTECTED]> wrote: > > > It should be easy enough to check that your solution is valid (i.e. > > a local > > > minimum): first, check to see if the solution satisfies all the > > > constraints; secondly, check to see if it is an interior point > > (i.e. none of > > > the constraints become equality); and finally, if the solution is an > > > interior point, check to see whether the gradient there is close to > > zero. > > > Note that if the solution is one of the vertices of the polyhedron, > > then the > > > gradient may not be zero. > > > > I am having bad luck: all constraints are satisfied, but the solution > > given by constrOptim is not interior; the gradient is not equal to > > zero. > > > > Paul > > > > > > > -----Original Message----- > > > From: [EMAIL PROTECTED] > > > [ On Behalf Of Paul Smith > > > Sent: Tuesday, July 03, 2007 5:10 PM > > > To: R-help > > > Subject: Re: [R] Fine tunning rgenoud > > > > > > On 7/3/07, Ravi Varadhan <[EMAIL PROTECTED]> wrote: > > > > You had indicated in your previous email that you are having trouble > > > finding > > > > a feasible starting value for constrOptim(). So, you basically > > need to > > > > solve a system of linear inequalities to obtain a starting point. > > Have > > > you > > > > considered using linear programming? Either simplex() in the "boot" > > > package > > > > or solveLP() in "linprog" would work. It seems to me that you > > could use > > > any > > > > linear objective function in solveLP to obtain a feasible > > starting point. > > > > This is not the most efficient solution, but it might be worth a > > try. > > > > > > > > I am aware of other methods for generating n-tuples that satisfy > > linear > > > > inequality constraints, but AFAIK those are not available in R. > > > > > > Thanks, Ravi. I had already conceived the solution that you suggest, > > > actually using "lpSolve". I am able to get a solution for my problem > > > with constrOptim, but I am not enough confident that the solution is > > > right. That is why I am trying to get a solution with rgenoud, but > > > unsuccessfully until now. > > > > > > Paul > > > > > > > > > > > > > -----Original Message----- > > > > From: [EMAIL PROTECTED] > > > > [ On Behalf Of Paul Smith > > > > Sent: Tuesday, July 03, 2007 4:10 PM > > > > To: R-help > > > > Subject: [R] Fine tunning rgenoud > > > > > > > > Dear All, > > > > > > > > I am trying to solve the following maximization problem, but I cannot > > > > have rgenoud giving me a reliable solution. > > > > > > > > Any ideas? > > > > > > > > Thanks in advance, > > > > > > > > Paul > > > > > > > > ---------------------------- > > > > library(rgenoud) > > > > > > > > v <- 0.90 > > > > O1 <- 10 > > > > O2 <- 20 > > > > O0 <- v*O1+(1-v)*O2 > > > > > > > > myfunc <- function(x) { > > > > U0 <- x[1] > > > > U1 <- x[2] > > > > U2 <- x[3] > > > > q0 <- x[4] > > > > q1 <- x[5] > > > > q2 <- x[6] > > > > p <- x[7] > > > > > > > > if (U0 < 0) > > > > return(-1e+200) > > > > else if (U1 < 0) > > > > return(-1e+200) > > > > else if (U2 < 0) > > > > return(-1e+200) > > > > else if ((U0-(U1+(O1-O0)*q1)) < 0) > > > > return(-1e+200) > > > > else if ((U0-(U2+(O2-O0)*q2)) < 0) > > > > return(-1e+200) > > > > else if ((U1-(U0+(O0-O1)*q0)) < 0) > > > > return(-1e+200) > > > > else if ((U1-(U2+(O2-O1)*q2)) < 0) > > > > return(-1e+200) > > > > else if((U2-(U0+(O0-O2)*q0)) < 0) > > > > return(-1e+200) > > > > else if((U2-(U1+(O1-O2)*q1)) < 0) > > > > return(-1e+200) > > > > else if(p < 0) > > > > return(-1e+200) > > > > else if(p > 1) > > > > return(-1e+200) > > > > else if(q0 < 0) > > > > return(-1e+200) > > > > else if(q1 < 0) > > > > return(-1e+200) > > > > else if(q2 < 0) > > > > return(-1e+200) > > > > else > > > > > > > > > return(p*(sqrt(q0)-(O0*q0+U0))+(1-p)*(v*(sqrt(q1)-(O1*q1+U1))+(1-v)*(sqrt(q2 > > > > )-(O2*q2+U2)))) > > > > > > > > } > > > > > > > > > genoud(myfunc,nvars=7,max=T,pop.size=6000,starting.values=runif(7),wait.gene > > > > rations=150,max.generations=300,boundary.enforcement=2) > > > > > > > > ______________________________________________ > > > > R-help@stat.math.ethz.ch mailing list > > > > > > > > PLEASE do read the posting guide > > > > > > > and provide commented, minimal, self-contained, reproducible code. > > > > > > > > > > ______________________________________________ > > > R-help@stat.math.ethz.ch mailing list > > > > > > PLEASE do read the posting guide > > > and provide commented, minimal, self-contained, reproducible code. > > > > > > > ______________________________________________ > > R-help@stat.math.ethz.ch mailing list > > > > PLEASE do read the posting guide > > and provide commented, minimal, self-contained, reproducible code. > > ______________________________________________ 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 and provide commented, minimal, self-contained, reproducible code.