Hello I'd like to know if there's a way to minimize a non linear function in R subject to some linear restrictions Ax=b I have tried to use optim() but it doesn't seem to be able to do it. Or, by Lagrange multipliers, solve some non linear equations simultaneously. Anyone can help? Thanks -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
Optimization with linear constraints
2 messages · Oscar Rueda, Brian Ripley
On Mon, 22 Jan 2001, [iso-8859-1] Julio Gómez wrote:
Hello I'd like to know if there's a way to minimize a non linear function in R subject to some linear restrictions Ax=b I have tried to use optim() but it doesn't seem to be able to do it.
Just use Ax = b to reduce the dimension of x. It's not something you should expect software to do for you.
Or, by Lagrange multipliers, solve some non linear equations simultaneously.
Don't turn an optimization problem into a root-finding problem: it is inefficient.
Brian D. Ripley, ripley at stats.ox.ac.uk Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272860 (secr) Oxford OX1 3TG, UK Fax: +44 1865 272595 -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._