Non-Linear Optimization - Query
On Tue, Mar 17, 2009 at 7:10 PM, Ravi Varadhan <RVaradhan at jhmi.edu> wrote:
Here is how you can implement the Lagrangian multiplier approach and solve
the first-order KKT conditions to obtain the solution for Paul Smith's
example:
? ? ? ?require(BB)
f2 <- function(x) {
f <- rep(NA, length(x))
f[1] <- 1 + 2 * x[1] * x[3] ?# x[3] is the Lagrangian multiplier
f[2] <- 1 + 2 * x[2] * x[3]
f[3] <- x[1]^2 + x[2]^2 - 1 ?# the equality constraint
f
}
dfsane(par=rep(0, 3), fn=f2)
I would suggest to run dfsane(par=runif(3), fn=f2) several times to get the chance of obtaining all critical points. Paul