Hi room, Is there any R package that solves a non linear objective pb, with linear equality constraint?
A simple example a =c (2, 5, 6, 7, 2) b = c (7, 1, 4, 5, 6) a and b are vectors of length 5 minimise f(x, a) = sum( (x-a)^2) such that sum( x*b) = 50. where x is the control variable. N.B. For your info, I believe the structure of these solvers: nlm, nlimb, lp, optim, optimize, constrOptim, solveLP, solve.QP, etc... are not appropriate for it. Solve.QP is the closest to a quad pb with inequality constraints which when changed to two inequality constraints produces a degenerated solution due to the fact that the Amat matrix's rows are dependent. Thanks Mama ----- Mama Attiglah, PhD Advanced Research Center Quantitative Research Analyst State Street Bank +44(0)20 7698 6290 (Direct Line) +44 (0)207 004 2968 (Direct Fax) Please visit our Web site at www.ssga.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.
