On Thu, Jul 19, 2012 at 10:24:17AM -0700, Linh Tran wrote:
> Hi fellow R users,
>
> I am desperately hoping there is an easy way to do this in R.
>
> Say I have three functions:
>
> f(x) = x^2
> f(y) = 2y^2
> f(z) = 3z^2
>
> constrained such that x+y+z=c (let c=1 for simplicity).
>
> I want to
Hi Linh,
Here is an approach:
f <- function(v) {
v <- v/sum(v)
(v[1]^2) + (2 * v[2]^2) + (3*v[3]^2)
}
(res <- optim(c(.6, .3, .1), f))
res$par/sum(res$par)
This is a downright lazy way to implement the constraint. The main
idea is to combine all three functions into one function that take
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