Hi, Looking at your problem, it seems like you can simply transform it to an unconstrained problem:
Maximize h(x1, x2, ..., xn) where h(x1, x2, ..., xn) = f(g1(x), g2(x), ..., gn(x)). Am I missing something or haven't you provided all the information? 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: Ravi Varadhan <rvarad...@jhmi.edu> Date: Friday, March 27, 2009 2:42 pm Subject: Re: [R] constraint optimization: solving large scale general nonlinear problems To: Florin Maican <florin.mai...@handels.gu.se> Cc: r-help <r-help@r-project.org> > 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 > > 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.
