Optimization inconsistencies

Le 18/05/12 00:14, Nathan Stephens a ?crit :

I have a very simple maximization problem where I'm solving for the vector
x:

objective function:
w'x = value to maximize

box constraints (for all elements of w):
low<  x<  high

equality constraint:
sum(x) = 1

But I get inconsistent results depending on what starting values I. I've
tried various packages but none seem to bee the very solver in Excel. Any
recommendations on what packages or functions I should try?

I had similar problem to solve (x were frequencies) and optimization 
stops before to reach the global maximum. As hwborchers at googlemail.com 
indicates, I fitted {x}-1 values because the last one is known by the 
equality constraint.
For the vector constraints, I used w <- -Inf when x goes out of the limits.

Finally I used Bayesian mcmc to get the convergence and it works much 
better.

I don't know why in this case the optim does not converge.

Hope it hepls,

Marc

__________________________________________________________
Marc Girondot, Pr

Laboratoire Ecologie, Syst?matique et Evolution
Equipe de Conservation des Populations et des Communaut?s
CNRS, AgroParisTech et Universit? Paris-Sud 11 , UMR 8079
B?timent 362
91405 Orsay Cedex, France

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