Try adding a penalty term, e,g, lambda <- 1e3 f <- function(x) crossprod(x-a) + lambda * (crossprod(x, b) - 50)^2 optim(a, f)
On Jan 30, 2008 12:01 PM, Attiglah, Mama <[EMAIL PROTECTED]> wrote: > > > > 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. > > ______________________________________________ > 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.
