How to formulate constraint like abs(x) = y in constrOptim (or other)
Hi Benjamin, If you just had abs(x_i) < c_i, it will reduce to linear inequalities, but your constraint cannot be reduced to that. You might try "alabama" or "Rsolnp" packages. 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: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On Behalf Of Hans W Borchers Sent: Monday, December 06, 2010 1:08 PM To: r-help at stat.math.ethz.ch Subject: Re: [R] How to formulate constraint like abs(x) = y in constrOptim (or other) Benjamin B. <benj.bad.ac <at> googlemail.com> writes:
Hello list reader, I am trying to form some constraints for an optimization I am working on. I think I have understand the use of the constraints in matrix form. I use them like: [...] Now I would like to formulate a constraint like Sum(Abs(x_i))<=limit But I have no idea how I could get such a condition by using the matrix constraint formulation. I have already searched the help, web and all searchable R resources I
could
find, but got no helping result. Is constrOptim the right function to use? Maybe you can give me a hint or can point me to a good description of constraint handling. Greetings and thanks in advance, Benjamin Benjamin B. Hamburg, Germany
With 'constrOptim' you can formulate linear constraints only, and in most cases abs() is not linear. You might try one of the nonlinear optimization packages. Another possibility is to reformulate the absolute value with two binary values, if your optimization function itself is linear; you didn't tell us the whole story. Hans Werner ______________________________________________ R-help at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.