Non linear programming optimization (which package to use?)
Jerome Chong <jeromechong <at> gmail.com> writes:
Greetings, What I want to do is to perform regression the data set to get a revenue function, and use that revenue function to find the maximum point (maybe with some constraints applied). The regressed revenue function would most likely be in a quadratic form (depending on the price-volume data set), and the constraints most likely will be in linear form. If I just get the largest product from the data set, it might not give me the maximum revenue from the revenue function (assuming not violating any constraints). To take the constraints into account, won't I be needing non-linear
programming?
And if I expect the variable to be an integer value (say price for maximized revenue needs to be in integer), I would be requiring mixed integer programming. Is there a single package can I use to handle all these? /Jerome
This optimization problem is called MINLP for Mixed Integer Nonlinear Programming. Don't know if there are MINLP solvers for R but they are available for other environments (e.g. GAMS). The first part is regression, that is of course very much in the realm of R. ---------------------------------------------------------------- Erwin Kalvelagen Amsterdam Optimization Modeling Group erwin at amsterdamoptimization.com http://amsterdamoptimization.com