My bad. It skipped my mind that constrOptim requires that you specify the gradient function for using BFGS. I have writtten a constrOPtim function that computes the gradient numerically and also can incorporate non-linear inequality constraints. I will send it to you, if you are interested.
Ravi. ---------------------------------------------------------------------------- ------- Ravi Varadhan, Ph.D. Assistant Professor, The Center on Aging and Health Division of Geriatric Medicine and Gerontology Johns Hopkins University Ph: (410) 502-2619 Fax: (410) 614-9625 Email: rvarad...@jhmi.edu Webpage: http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html ---------------------------------------------------------------------------- -------- -----Original Message----- From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On Behalf Of dre968 Sent: Thursday, April 23, 2009 5:23 PM To: r-help@r-project.org Subject: Re: [R] Stuck using constrOptim if i run the same program with constrOptim(p0,minsquare,keys=keys,benKeys=benKeys,NULL,ui=A,ci=B,method="BF GS") i get the following error: Error in dR(theta, theta.old, ...) : could not find function "grad" i'm not very mathematically inclined, i dont even know what a gradient is. any suggestions? dre968 wrote: > > Trying to use constrOptim to minimize the sum of squared deviations. > I put the objective function in as: sum((x %*% Y - Z)^2) so i'm trying > to get values for x to minimize the sum of the squared deviations > between the product of x and Y and Z. > > Anyways i have no problem using this when x is a 3x1 test variable. > it works great with the constraints and everything. when i actually > use it on my data x is 3x900 or so and it wont optimize it just gives > me back my initial guess....this is the output i'm getting: > > $value > [1] 22.7438 > > $counts > function gradient > 906 NA > > $convergence > [1] 1 > > $message > NULL > > $outer.iterations > [1] 1 > > $barrier.value > [1] 1.381551e-06 > > this is definitely not the right answer and it is just spitting back > my initial guess back. > > Any ideas? are there limits as to how big the variables can be for > this function? > -- View this message in context: http://www.nabble.com/Stuck-using-constrOptim-tp23197912p23203595.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ 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.
