Hessian may not even exist in a constrained optimization problem, for example, when the solution is on the boundary of the feasible region. If your solution is on the interior, you can use the hessian() function in "numDeriv" package.
Ravi. -----Original Message----- From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of [EMAIL PROTECTED] Sent: Monday, August 04, 2008 7:52 PM To: r-help@r-project.org Subject: [R] Constrained Optimization Hello, I am trying to run a constrained optimization in R. "constrOptim" is really useful and has helped me a lot, but unfortunately, it doesn't provide the hessian. Is there a solution to this problem? I've tried "optim" with penalty-functions and "L-BFGS-B", but it doesn't help. Alan. -- http://games.entertainment.gmx.net/de/entertainment/games/free/puzzle/616919 6 ______________________________________________ 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. ______________________________________________ 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.
