Optimization inconsistencies
On May 18, 2012, at 00:14 , Nathan Stephens wrote:
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?
Sounds like a linear programming problem, so perhaps one of the packages that are specialized for that? lpSolve looks like it should do it. (As a general matter: There's nothing simple about constrained maximization problems, and generic optimizers aren't really geared towards dealing with large sets of constraints.)
--Nathan [[alternative HTML version deleted]]
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