The number of variables is larger that the number of functions constraints.
You are right I can rewrite my problem like this
max f =h1(x11;x12;..;x1n;Y,b)+ h2(x21,x22, ... x2m;Y,b)
x,b
I know Y and for given values of b I can compute {x11, x1n}
as
one system of equations
and {x21,x22 and x2m} as another system of equations. The x are functions
of Y and b.
I can solve these systems and after plug x(Y,b) in f(.) and find optimal
b, but this will introduce discontinuity and I cannot find the optimal
solution. I tried like this by using Rgenoud and SANN but both algorithms
did not converge after 1 week!!!!!
In my case the number of h functions are over 30.
Florin
On Fri, Mar 27, 2009 at 8:19 PM, Ravi Varadhan <rvaradhan at jhmi.edu> wrote:
> Hi,
>
> Looking at your problem, it seems like you can simply transform it
> 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>
>
>
> > Can you tell us more about your obj function, f, and the equality
> > constraints g_k?
> >
> > Do you really have as many equality constraints as the number of
> > variables? Are these all non-linear? Can't you find the roots of
> > this system of equations? If yes, you could find all the roots (with
> > multiple starts or some other search technique) and choose the one
> > that maximizes f(x).
> >
> > 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: 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
> > > 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
> > > case. I need to solve this problem with over 300 variables. In
> > > 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 ---
> > >
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