Hi. I need some advises on how to use R to find pi (i is the index) with
the following objective function and constraint:
max (sum i)[ f(ai, bi, pi) * g(ci, di, pi) * Di ]
s.t. (sum i)[ f(ai, bi, pi) * Di * pi] / (sum i)[ f(ai, bi, pi) * Di ] <=
constant
f and g are diffentiable.
So, I am thinking of optim with method = "BFGS"? But wonder how to include
the constraint.
I also saw constrOptim but it says for linear constraint only.
So, what will be the suitable function to use then?
Also, how should I write (sum i) in R?
Many thanks and your help is much appreciated.
----
Chua Siang Li
Consultant - Operations Research
Acceval Pte Ltd
Tel: 6297 8740
Email: [EMAIL PROTECTED]
Website: www.acceval-intl.com
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