Can you tell us more about your obj function, f, and the equality constraints g_k?
Do you really have as many equality constraints as the number of variables? Are these all non-linear? Can't you find the roots of this system of equations? If yes, you could find all the roots (with multiple starts or some other search technique) and choose the one that maximizes f(x). 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: Florin Maican <florin.mai...@handels.gu.se> Date: Friday, March 27, 2009 2:01 pm Subject: [R] constraint optimization: solving large scale general nonlinear problems To: r-help <r-help@r-project.org> > Hi > > I need advice regarding constraint optimization with large number of > variables. > > I need to solve the following problem > > max f(x1,...,xn) > x1,..xn > > x1=g1(x1,...,xn) > . > . > xn=gn(x1,...,xn) > > I am using Rdonlp2 package which works well until 40 variables in my > case. I need to solve this problem with over 300 variables. In this case > Rdonlp2 is very very slowly. I know that in Matlab exists Knitro > ( for large optimization problems. > > It will be great if you can suggest me some alternatives solutions. > > > Thanks in advance, > Florin > > > > -- > Florin G. Maican > ================================== > > Ph.D. candidate, > Department of Economics, > School of Business, Economics and Law, > Gothenburg University, Sweden > ----------------------------------- > P.O. Box 640 SE-405 30, > Gothenburg, Sweden > > Mobil: +46 76 235 3039 > Phone: +46 31 786 4866 > Fax: +46 31 786 4154 > Home Page: > E-mail: florin.mai...@handels.gu.se > ------------------------------------ > "Not everything that counts can be > counted, and not everything that can be > counted counts." > --- Einstein --- > > ______________________________________________ > 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.
