Re: [R] constrained optimization in R

2004-09-21 Thread Thomas Lumley 
On Tue, 21 Sep 2004 [EMAIL PROTECTED] wrote:
R:
I need to minimize a function such that the parameters when used in
another function result in a particular value, which i fix.  That is, I
need min(f(a,b)) given g(a,b)=X, where min(.) is the minimum, f(.) and
g(.) are functions (with unknown gradients) of parameters a and b and X is
a fixed value.  What optimization function(s) in R do you suggest?
constrOptim looks like it will work except I don't know the gradient of
the functions.
constrOptim won't work -- it does INequality constraints.
-thomas

Thanks,
Jason Higbee
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Thomas Lumley   Assoc. Professor, Biostatistics
[EMAIL PROTECTED]   University of Washington, Seattle
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Re: [R] constrained optimization in R

2004-09-21 Thread Spencer Graves 
 Have you considered doing an unconstrained penalized optimization, 
e.g.

  pen.f(x, X, penalty) = function(x)(f(x[1], x[2])+penalty*(g(x[1], 
x[2])-X)^2)

   Then give "pen.f" to optim.  Start out with "penalty" small, 
then use optim's answers with one value of penalty as starting values 
for optim with double or 10 times the penalty.  As long as f and g are 
reasonably well behaved, this should produce an answer without excessive 
effort. 

  hope this helps.  spencer graves  

[EMAIL PROTECTED] wrote:
R:
I need to minimize a function such that the parameters when used in 
another function result in a particular value, which i fix.  That is, I 
need min(f(a,b)) given g(a,b)=X, where min(.) is the minimum, f(.) and 
g(.) are functions (with unknown gradients) of parameters a and b and X is 
a fixed value.  What optimization function(s) in R do you suggest? 
constrOptim looks like it will work except I don't know the gradient of 
the functions.

Thanks,
Jason Higbee
[[alternative HTML version deleted]]
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--
Spencer Graves, PhD, Senior Development Engineer
O:  (408)938-4420;  mobile:  (408)655-4567
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[R] constrained optimization in R

2004-09-21 Thread Jason . L . Higbee 
R:

I need to minimize a function such that the parameters when used in 
another function result in a particular value, which i fix.  That is, I 
need min(f(a,b)) given g(a,b)=X, where min(.) is the minimum, f(.) and 
g(.) are functions (with unknown gradients) of parameters a and b and X is 
a fixed value.  What optimization function(s) in R do you suggest? 
constrOptim looks like it will work except I don't know the gradient of 
the functions.

Thanks,

Jason Higbee

[[alternative HTML version deleted]]

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