Your initial value is indeed "infeasible", as the error message says. Your x[1] is 1.00004, which is not in the interval [0,1].
To incorporate both equalities and inequalities (linear or nonlinear), you could try my function `constrOptim.nl'. Contact me off the list if you are interested. Ravi. ---------------------------------------------------------------------------- ------- Ravi Varadhan, Ph.D. Assistant Professor, The Center on Aging and Health Division of Geriatric Medicine and Gerontology Johns Hopkins University Ph: (410) 502-2619 Fax: (410) 614-9625 Email: rvarad...@jhmi.edu Webpage: http://www.jhsph.edu/agingandhealth/People/Faculty_personal_pages/Varadhan.h tml ---------------------------------------------------------------------------- -------- -----Original Message----- From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On Behalf Of s t Sent: Wednesday, November 04, 2009 5:48 PM To: r-help@r-project.org Subject: [R] Constrained Optimization Hi All, I'm trying to do the following constrained optimization example. Maximize x1*(1-x1) + x2*(1-x2) + x3*(1-x3) s.t. x1 + x2 + x3 = 1 x1 >= 0 and x1 <= 1 x2 >= 0 and x2 <= 1 x3 >= 0 and x3 <= 1 which are the constraints. I'm expecting the answer x1=x2=x3 = 1/3. I tried the "constrOptim" function in R and I'm running into some issues. I first start off by setting my equalities to inequalities x1+x2+x3 >= 1 x1+x2+x3 <= 1.001 However, I get a "Error in constrOptim(c(1.00004, 0, 0), fr, grr, ui = t(A), ci = b) : initial value not feasible Execution halted" error. The values 1.00004,0,0 are well within the constraints domain. fr = function(x){ x1 = x[1] x2 = x[2] x3 = x[3] x1*(1-x1) + x2*(1-x2) + x3*(1-x3) } grr = function(x){ x1 = x[1] x2 = x[2] x3 = x[3] c(1-2*x1,1-2*x2,1-2*x3) } A = matrix(c(1,1,1,-1,-1,-1,1,0,0,0,1,0,0,0,1,1,0,0,0,1,0,0,0,1),3,8,byrow=T) b = c(1,-1.001,0,0,0,1,1,1) y = constrOptim(c(1.00004,0,0),fr,grr,ui = t(A),ci = b) Any help/pointers greatly appreciated. Thanks [[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.
