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]] > > > > - ______________________________________________ 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.