Is this a homework problem in finding the largest eigensolution of W?
If not, I'd be trying to maximize (D' W D)/ (D' D)
using (n-1) values of D and setting one value to 1 -- hopefully a value that is
not going
to be zero.
JN
>
> Date: Wed, 11 May 2011 17:28:54 -0300
> From: Leonardo Monasterio <leonardo.monaste...@gmail.com>
> To: r-help@r-project.org
> Subject: [R] Problem with constrained optimization with maxBFGS
> Message-ID: <banlktimj0quyhgpa2ycmzo4zpkhgpom...@mail.gmail.com>
> Content-Type: text/plain
>
> Dear all,
>
> I need to maximize the v:
>
> v= D' W D
>
>
> D is a column vector ( n , 1)
> W is a given matrix (n, n)
>
> subject to:
> sum D= 1
>
> (BTW, n is less than 300)
> I´ve tried to use maxBFGS, as follows:
>
> #####################################
> objectiveFunction<-function(x)
> {
> return(t(D)%*%W%*%D)
> }
>
> Amat<-diag(nrow(D))
> Amat<-rbind((rep(-1, nrow(D))), Amat)
> bvec<-matrix( c(0), nrow(D)+1, 1)
> bvec[1,1]<-c(1)
> startValues=rep(1/nrow(D),nrow(D)) #Istart value is homogeneous distribution
> res <<- maxBFGS(objectiveFunction, start=startValues,
> constraints=list(ineqA=Amat, ineqB=bvec))
> ########################################
> The outcome is equal to the startValues. I´ve tried several initial values
> and nothing changes.
> Please, what am I doing wrong? Any suggestion?
>
> Thanks a lot!
>
> Leo.
>
> [[alternative HTML version deleted]]
>
>
>
> -
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