Message-ID: <A0557169-8F20-4B5D-8F63-8DEA8C3BC936@gmail.com>
Date: 2012-05-17T23:28:32Z
From: Peter Dalgaard
Subject: Optimization inconsistencies
In-Reply-To: <CAGoFgb7ge0e-sRRnjfAx3GkQpikSTSAc+v9t-v6fCLZnfdTsog@mail.gmail.com>
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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--
Peter Dalgaard, Professor,
Center for Statistics, Copenhagen Business School
Solbjerg Plads 3, 2000 Frederiksberg, Denmark
Phone: (+45)38153501
Email: pd.mes at cbs.dk Priv: PDalgd at gmail.com