constraint optimization: solving large scale general nonlinear problems

Fri, Mar 27, 2009 12:19 PM

Hi,

Looking at your problem, it seems like you can simply transform it to an unconstrained problem:

Maximize h(x1, x2, ..., xn)

where h(x1, x2, ..., xn) = f(g1(x), g2(x), ..., gn(x)).

Am I missing something or haven't you provided all the information?

Ravi.

____________________________________________________________________

Ravi Varadhan, Ph.D.
Assistant Professor,
Division of Geriatric Medicine and Gerontology
School of Medicine
Johns Hopkins University

Ph. (410) 502-2619
email: rvaradhan at jhmi.edu


----- Original Message -----
From: Ravi Varadhan <rvaradhan at jhmi.edu>
Date: Friday, March 27, 2009 2:42 pm
Subject: Re: [R] constraint optimization: solving large scale general nonlinear problems
To: Florin Maican <florin.maican at handels.gu.se>
Cc: r-help <r-help at r-project.org>

 ____________________________________________________________________
 
 Ravi Varadhan, Ph.D.
 Assistant Professor,
 Division of Geriatric Medicine and Gerontology
 School of Medicine
 Johns Hopkins University
 
 Ph. (410) 502-2619
 email: rvaradhan at jhmi.edu
 
 
 ----- Original Message -----
 From: Florin Maican <florin.maican at handels.gu.se>
 Date: Friday, March 27, 2009 2:01 pm
 Subject: [R] constraint optimization: solving large scale general 
nonlinear problems
 To: r-help <r-help at r-project.org>
 
 
 > Hi
 >  
 >  I need advice regarding constraint optimization with large number 
of
 >  variables. 
 >  
 >  I need to solve the following problem
 >  
 >     max      f(x1,...,xn)
 >    x1,..xn
 >    
 >      x1=g1(x1,...,xn)
 >      .
 >      .
 >      xn=gn(x1,...,xn) 
 >  
 >  I am using Rdonlp2  package which works well until 40 variables in 
my
 >  case. I need to solve this problem with over 300 variables. In 
this case
 >  Rdonlp2 is very  very slowly. I know that in Matlab exists  Knitro
 >  ( for large optimization problems.
 >  
 >  It will be great if you can suggest me some alternatives solutions.
 >  
 >  
 >  Thanks in advance,
 >  Florin
 >  
 >  
 >  
 >  -- 
 >           Florin G. Maican            
 >  ==================================
 >  
 >  Ph.D. candidate,                    
 >  Department of Economics,
 >  School of Business, Economics and Law,             
 >  Gothenburg University, Sweden       
 >  -----------------------------------
 >      P.O. Box 640 SE-405 30,         
 >      Gothenburg, Sweden              
 >  
 >   Mobil:  +46 76 235 3039             
 >   Phone:  +46 31 786 4866             
 >   Fax:    +46 31 786 4154              
 >   Home Page: 
 >   E-mail: florin.maican at handels.gu.se 
 >  ------------------------------------
 >   "Not everything that counts can be 
 >   counted, and not everything that can be 
 >   counted counts."
 >                           --- Einstein ---
 >  
 >  ______________________________________________
 >  R-help at r-project.org mailing list
 >  
 >  PLEASE do read the posting guide 
 >  and provide commented, minimal, self-contained, reproducible code.
 
 ______________________________________________
 R-help at r-project.org mailing list
 
 PLEASE do read the posting guide 
 and provide commented, minimal, self-contained, reproducible code.

constraint optimization: solving large scale general nonlinear problems

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