Hello.
I have some further problems with modelling an
optimization problem in R:
How can I model some optimization problem in R with a
linear objective function with subject to some
nonlinear constraints?
I would like to use "optim" or "constrOptim", maybe
with respect to methods like "Simulated Annealing" or
"Sequential Quadric Programming" or something else,
which can solve the problem. But I have no idea how to
code in R!
Example:
min (x1 + x2 + x3)
s.t.
p * (a*x1 + b*x2 + c*x3)^(-3) + (1-p) * (d*x1 + e*x2 +
f*x3)^(-3) >= g
with a,b,c,d,e,f,g,p constant > 0 and x1,x2,x3 > 0
also: a,b,c > d,e,f
I hope you can help me with some code for the above
problem so I can transfer it to my "real" problem. You
can also put some real numbers for the above problem.
I only wanted to abstract the problem with some
general constant.
Regards,
Andreas Klein.
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Optimization with nonlinear constraints
2 messages · Andreas Klein, Paul Smith
On Wed, Mar 26, 2008 at 1:17 PM, Andreas Klein <klein82517 at yahoo.de> wrote:
I have some further problems with modelling an optimization problem in R: How can I model some optimization problem in R with a linear objective function with subject to some nonlinear constraints? I would like to use "optim" or "constrOptim", maybe with respect to methods like "Simulated Annealing" or "Sequential Quadric Programming" or something else, which can solve the problem. But I have no idea how to code in R! Example: min (x1 + x2 + x3) s.t. p * (a*x1 + b*x2 + c*x3)^(-3) + (1-p) * (d*x1 + e*x2 + f*x3)^(-3) >= g with a,b,c,d,e,f,g,p constant > 0 and x1,x2,x3 > 0 also: a,b,c > d,e,f I hope you can help me with some code for the above problem so I can transfer it to my "real" problem. You can also put some real numbers for the above problem. I only wanted to abstract the problem with some general constant.
I think that your optimization problem, Andreas, has no solution, but please correct me if I am wrong. In fact, when x1, x2 and x3 tend simultaneously to zero, the constrain is satisfied; the minimum would then be x1 = x2 = x3 = 0, but by your assumption, x1,x2,x3 > 0. Thus, the search for the minimum would be endless; no minimum exists. Paul