David, I am not sure I completely understand your problem. However, you can take a look at a couple of packages in R that can handle (smooth) nonlinear optimization with general (smooth) constraints:
library(alabama) ?constrOptim.nl and library(Rsolnp) ?solnp Best, 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: Dennis Murphy <djmu...@gmail.com> Date: Tuesday, August 24, 2010 4:44 pm Subject: Re: [R] Constrained non-linear optimisation To: David Beacham <d.beacha...@imperial.ac.uk> Cc: r-help@r-project.org > Hi: > > A reasonable place to start would be the Optimization task view at CRAN: > > > > HTH, > Dennis > > On Tue, Aug 24, 2010 at 10:47 AM, David Beacham > <d.beacha...@imperial.ac.uk>wrote: > > > I'm relatively new to R, but I'm attempting to do a non-linear maximum > > likelihood estimation (mle) in R, with the added problem that I > have a > > non-linear constraint. > > > > The basic problem is linear in the parameters (a_i) and has only one > > non-linear component, b, with the problem being linear when b = 0 and > > non-linear otherwise. Furthermore, f(a_i) <= b <= g(a_i) for some > (simple) f > > and g. > > > > Using optim, I can get the optimisation to work when the > non-linearity is > > included but not constrained, but gives poor results (as I'd expect). > > However, I'm not sure how best to go about the constraint > condition. My > > initial attempts revolve around the use of logarithmic barrier > function, but > > this only appears to work when using method="CG". When using > "BFGS", the > > value of b 'goes out of bounds' and the loglikelihood starts > throwing NaN, > > which is particularly bad if I want to box constrain the a_i using > the > > "L-BFGS-B" method. > > > > Are there any other methods/approaches/variations on the above > available to > > me in the form of other packages/R functions etc? Or any good > > references/books to help me out? > > > > Any help would be greatly appreciated, > > David. > > > > ______________________________________________ > > R-help@r-project.org mailing list > > > > PLEASE do read the posting guide > > > > and provide commented, minimal, self-contained, reproducible code. > > > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org mailing list > > PLEASE do read the posting guide > 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.
