I do not understand the constraint x1 = x3 = x4. If this is correct, you only have 10 unknown parameters.
If you can correctly formulate your problem, you can have a look at the packages "alabama" or "BB". The function `auglag' in "alabama" or the function `spg' in "BB" may be useful. Ravi. ------------------------------------------------------- Ravi Varadhan, Ph.D. Assistant Professor, Division of Geriatric Medicine and Gerontology School of Medicine Johns Hopkins University Ph. (410) 502-2619 email: rvarad...@jhmi.edu -----Original Message----- From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On Behalf Of dhacade...@gmail.com Sent: Monday, November 22, 2010 11:10 AM To: r-help@r-project.org Subject: Re: [R] question about constraint minimization Hi, I have struggled on this "bound optimization with equality constraint" by using optim function for two days, but still fail to prepare a good input. Can anyone help to prepare the input for my specific case? Many thanks. Best, Hao On Sat, Nov 20, 2010 at 3:17 AM, Hans W Borchers [via R] < ml-node+3051338-309339578-202...@n4.nabble.com<ml-node%2B3051338-309339578-2 02...@n4.nabble.com> > wrote: > dhacademic <at> gmail.com <dhacademic <at> gmail.com> writes: > > > > > > > Hi, > > > > I am a beginner of R. There is a question about constraint minimization. > A > > function, y=f(x1,x2,x3....x12), needs to be minimized. There are 3 > > requirements for the minimization: > > > > (1) x2+x3+...+x12=1.5 (x1 is excluded); > > (2) x1=x3=x4; > > (3) x1, x3 and x5 are in the range of -1~0, respectively. The rest > variables > > (x2, x4, x6, x7, ...., x12) are in the range of 0~1, respectively. > > > > The "optim" function is used. And part of my input is as follow, where > > "xx1r" represents the x12: > > > > xx1r=1.5-x[2]-x[1]-x[1]-x[3]-x[4]-x[5]-x[6]-x[7]-x[8]-x[9] > > start=rnorm(9) > > up=1:9/1:9*1 > > lo=1:9/1:9*-1 > > out=optim(start,f,lower=lo,upper=up,method="L-BFGS-B",hessian=TRUE, > > control=list(trace=6,maxit=1000)) > > > > There are two problems in this input. the "up" and "lo" only define a > range > > of -1~1 for x1 to x11, which can not meet the requirement (3). In > addition, > > there is not any constraint imposed on x12. I have no idea how to specify > a > > matrix that can impose different constraints on individual variables in a > > > function. Any suggestion is highly appreciated. > > > > Best, > > Hao > > > > I don't see any direct need for real 'constraint' optimization here, > it is a 'bounded' optimization where you are allowed to use > > lower <- c(-1,0,-1,0,-1,0,0,0,0,0,0,0) > upper <- c( 0,1, 0,0, 0,1,1,1,1,1,1,1) > > Otherwise, your description is confusing: > (1) Did you change f to a new function with 9 variables, eliminating > x3, x4, and x12 ? > (2) x4 (being equal to x1) has to be in [-1, 0] but also in [0, 1]? > (3) If you need to restrict x12 to [0, 1] also, you cannot eliminate it. > Either keep x12 and use an equality constraint, or use inequality > constraints on xxlr. > > Hans Werner > > ______________________________________________ > [hidden email] <http://user/SendEmail.jtp?type=node&node=3051338&i=0>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. > > > ------------------------------ > View message @ > http://r.789695.n4.nabble.com/question-about-constraint-minimization-tp30508 80p3051338.html > > To unsubscribe from question about constraint minimization, click here<http://r.789695.n4.nabble.com/template/NamlServlet.jtp?macro=unsubscrib e_by_code&node=3050880&code=ZGhhY2FkZW1pY0BnbWFpbC5jb218MzA1MDg4MHwtNjM2Nzc0 NA==>. > > -- View this message in context: http://r.789695.n4.nabble.com/question-about-constraint-minimization-tp30508 80p3053912.html Sent from the R help mailing list archive at Nabble.com. [[alternative HTML version deleted]] ______________________________________________ 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.
