Please tell us about the actual problem that you are trying to solve, because the "answer" would very much depend on that.
Are your constraints really sum(par) = 0? If so, you can just eliminate one of the parameters and solve the optimization problems with (p-1) parameters. If you have other constraints on the parameters such that par[i] > 0, then you can use any one of the optimization functions that allow for box-constraints (e.g. optim() with method="L-BFGS-B", nlminb(), spg() in "BB" package). If you have convex inequality constraints, you can use constrOptim(). If you have nonlinear inequalities you may try Rdonlp2, or you can use a function that I have written that extends constrOptim() to handle non-linear inequalities. As you can see, the answer depends upon what type of constraints you really have. 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_personal_pages/Varadhan.h tml ---------------------------------------------------------------------------- -------- -----Original Message----- From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On Behalf Of Iason Christodoulou Sent: Thursday, July 02, 2009 11:56 AM To: r-help@r-project.org Subject: [R] constrained optimisation in R. i want to estimate parameters with maximum likelihood method with contraints (contant numbers). for example sum(Ai)=0 and sum(Bi)=0 i have done it without the constraints but i realised that i have to use the contraints. Without constraints(just a part-not complete): skellamreg_LL=function(parameters,z,design) { n=length(z); mu=parameters[1]; H=parameters[2]; Apar=parameters[3:10]; Dpar=parameters[11:18]; res=optim(par,skellamreg_LL,method="Nelder-Mead", hessian = FALSE, control=list(trace=1000,maxit=100000),z=z,design=x,) _________________________________________________________________ [[alternative HTML version deleted]] ______________________________________________ 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.
