constrained optimization

Hi Christophe,

I have an algorithm for solving nonlinearly constrained optimization. It is
a combination of an interior point (for inequalities) algorithm with an
augmented Lagrangian (for equalities).  It is coded entirely in R, and hence
is a bit slow, but it seems to do the job quite robustly in terms of
handling poor starting values.  I can send this to you, if you are
interested.

Ravi.

-----Original Message-----
From: r-devel-bounces at r-project.org [mailto:r-devel-bounces at r-project.org]
On Behalf Of Christophe Dutang
Sent: Wednesday, July 07, 2010 8:01 AM
To: r-devel at r-project.org
Subject: [Rd] constrained optimization

Dear list,

The task view on optimization does not reference a package for non linear
constrained optimization problems. Stefan Theussl told me to look at the
Rsolnp package, but unfortunately it is not very clear what method is R
ported. (The authors ported the matlab code of Yinyu Ye
http://www.stanford.edu/~yyye/ <http://www.stanford.edu/%7Eyyye/>)

Currently I'm looking for an implementation of sequential quadratic
programming to replicate SNOPT*. A good reference I found on the web is this
booklet
http://www2.imm.dtu.dk/pubdb/views/edoc_download.php/5456/pdf/imm5456.pdf .

Does anyone know an implementation of such algorithms? Is there any fortran
implementation available useful if I have to implement it?

Thanks in advance

Christophe


* SNOPT: An SQP Algorithm For Large-Scale Constrained Optimization (1997) by
Philip E. Gill ,  Walter Murray ,  Michael ,  Michael A. Saunders

Christophe DUTANG
Ph. D. student at ISFA, Lyon, France

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Have you considered using the optim function with L-BFGS-B for bounded
optimization. Obviously, you will have to do changes of variables so that
everything is in terms of a rectangle (which is the type of bounding that it
accepts).

I believe it is based on "A LIMITED MEMORY ALGORITHM FOR BOUND CONSTRAINED
OPTIMIZATION" By Richard H Byrd,  Peihuang Lu, Jorge Nocedal, and Ciyou Zhu.
Technical Report NAM-08, May 1994.

They also have a paper on the exact implementation. I also believe that R
uses the code from Nocedal et al.

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Dear Paul,

No I haven't tried to use L-BFGS-B algorithm with bounds. Let me check if a variable change can be used on my problem.

Thanks

Christophe

Le 7 juil. 2010 ? 19:49, Paul Bailey a ?crit :

Have you considered using the optim function with L-BFGS-B for bounded
optimization. Obviously, you will have to do changes of variables so that
everything is in terms of a rectangle (which is the type of bounding that it
accepts).

I believe it is based on "A LIMITED MEMORY ALGORITHM FOR BOUND CONSTRAINED
OPTIMIZATION" By Richard H Byrd,  Peihuang Lu, Jorge Nocedal, and Ciyou Zhu.
Technical Report NAM-08, May 1994.

They also have a paper on the exact implementation. I also believe that R
uses the code from Nocedal et al.
-- 
View this message in context: http://r.789695.n4.nabble.com/constrained-optimization-tp2280809p2281282.html
Sent from the R devel mailing list archive at Nabble.com.

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--
Christophe Dutang
Ph.D. student at ISFA, Lyon, France
website: http://dutangc.free.fr