Hi, The "Tango project" website (from Brazil) has some R functions to implement Algencan. I haven't used it, but I would be interested to hear others' experience if someone has already used it or will be using it.
Ravi. -----Original Message----- From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of Paul Smith Sent: Tuesday, August 19, 2008 12:57 PM To: r-help@r-project.org Subject: Re: [R] nonlinear constrained optimization On Tue, Aug 19, 2008 at 8:35 AM, Chua Siang Li <[EMAIL PROTECTED]> wrote: > > 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. Up to my best knowledge, R cannot deal with optimization problems with nonlinear constraints, unless one uses the penalty method. Outside R, Ipopt and Algencan can solve problems like yours, but one needs to program in AMPL and/or C/Fortran. Paul ______________________________________________ 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.
