Re: [R] question about constraint minimization
Hi Hans,
I really appreciate your help and the detailed reply. Many thanks and have a
nice Thanks giving!
Best,
Hao
On Tue, Nov 23, 2010 at 11:46 AM, Hans W Borchers [via R]
ml-node+3055782-1866096000-202...@n4.nabble.comml-node%2b3055782-1866096000-202...@n4.nabble.com
wrote:
dhacademic at gmail.com dhacademic at gmail.com writes:
Hi,
I have struggled on this bound optimization with equality constraint by
using optim function for two days, but still fail to prepare a good
input.
Can anyone help to prepare the input for my specific case? Many thanks.
Best,
Hao
You did not disclose the the function f, is it linear or nonlinear, does it
have (many) local minima, do you know its gradient?, etc.
With some bloody tricks it is possible to emulate equality and inequality
constraints with 'optim', too. But in general, I would suggest to apply
'constrOptim.nl' in the alabama package (or 'solnp' in Rsolnp). These are
newer implementations and will handle equality constraints nicely.
Assuming your original function f12 is a function of 12 variables, e.g.
f12 - function(x) sum((1:12)*(x - 1:12)^2)
define a new function f eliminating x3, x4, and x12 through
f - function(x) {
xx1r - 1.5 - x[1] - sum(x)
x12 - c(x[1], x[2], x[1], x[1], x[3:9], xx1r)
f12(x12)
}
I would suggest 'solnp' in package Rsolnp, as the bound constraints can
be
formulated somewhat easier; the start value has to be feasible(!):
lower - c(-1, 0, -1, 0, 0, 0, 0, 0, 0)
upper - c( 0, 1, 0, 1, 1, 1, 1, 1, 1)
fun - function(x) 1.5 - 2*x[1] - x[2] - sum(x[3:9])
start - c(-0.2, 0.2, -0.2, rep(0.2, 6))
S - solnp(start, f, LB=lower, UB=upper, ineqfun=fun, ineqLB=0,
ineqUB=1)
This will return a (local?) minimum (-1, 0, -1, 0, 0, 0.5, 1, 1, 1) as:
S$pars
# [1] -1.00e+00 1.209474e-08 -9.99e-01 4.801754e-08
1.930926e-07
# [6] 4.99e-01 9.98e-01 1.00e+00 1.00e+00
Hans Werner
P. S.: Sorry, Ravi, but I could not resist the temptation to at least
**indicate** one complete solution.
__
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Re: [R] question about constraint minimization
You need to spend some time and learn the basics of R. There are several excellent tutorials available on the CRAN R-project website. This will be a very good investment of your time. After you have spent a couple of days learning the basics, try using my package to solve your problem. Best, Ravi. --- Ravi Varadhan, Ph.D. Assistant Professor, Division of Geriatric Medicine and Gerontology School of Medicine Johns Hopkins University Ph. (410) 502-2619 email: rvarad...@jhmi.edu -Original Message- From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On Behalf Of dhacade...@gmail.com Sent: Tuesday, November 23, 2010 12:26 AM To: r-help@r-project.org Subject: Re: [R] question about constraint minimization Dear Prof. Ravi Varadhan, Many thanks for the reply. In my case, besides x1=x3, x1=x4 (x1=x3=x4 was used in last post), another constraint is needed, x2+x3+x4+...+x12=1.5. So there are 9 variables. I have downloaded your code, but I even do not know how to call your code in R program. Actually, I know very little about R. I spent lots of time to read the R help files as well as lots of post on line, and finally prepared the input file that I pasted in my last post. Unfortunately, it does not work well. Can you please help to revise the input file that can work by using the constrOptim function? Or can you plese show me how to call your code in R and send me the input file? Many thanks for your kind considerations! Best, Hao On Mon, Nov 22, 2010 at 2:31 PM, Ravi Varadhan [via R] ml-node+3054297-1984476990-202...@n4.nabble.comml-node%2B3054297-1984476990 -202...@n4.nabble.com wrote: I do not understand the constraint x1 = x3 = x4. If this is correct, you only have 10 unknown parameters. If you can correctly formulate your problem, you can have a look at the packages alabama or BB. The function `auglag' in alabama or the function `spg' in BB may be useful. Ravi. --- Ravi Varadhan, Ph.D. Assistant Professor, Division of Geriatric Medicine and Gerontology School of Medicine Johns Hopkins University Ph. (410) 502-2619 email: [hidden email]http://user/SendEmail.jtp?type=nodenode=3054297i=0 -Original Message- From: [hidden email]http://user/SendEmail.jtp?type=nodenode=3054297i=1[mailto:[hidden email] http://user/SendEmail.jtp?type=nodenode=3054297i=2] On Behalf Of [hidden email]http://user/SendEmail.jtp?type=nodenode=3054297i=3 Sent: Monday, November 22, 2010 11:10 AM To: [hidden email] http://user/SendEmail.jtp?type=nodenode=3054297i=4 Subject: Re: [R] question about constraint minimization Hi, I have struggled on this bound optimization with equality constraint by using optim function for two days, but still fail to prepare a good input. Can anyone help to prepare the input for my specific case? Many thanks. Best, Hao On Sat, Nov 20, 2010 at 3:17 AM, Hans W Borchers [via R] [hidden email] http://user/SendEmail.jtp?type=nodenode=3054297i=5ml-node%2B3051338-309 339578-2 [hidden email] http://user/SendEmail.jtp?type=nodenode=3054297i=6 wrote: dhacademic at gmail.com dhacademic at gmail.com writes: Hi, I am a beginner of R. There is a question about constraint minimization. A function, y=f(x1,x2,x3x12), needs to be minimized. There are 3 requirements for the minimization: (1) x2+x3+...+x12=1.5 (x1 is excluded); (2) x1=x3=x4; (3) x1, x3 and x5 are in the range of -1~0, respectively. The rest variables (x2, x4, x6, x7, , x12) are in the range of 0~1, respectively. The optim function is used. And part of my input is as follow, where xx1r represents the x12: xx1r=1.5-x[2]-x[1]-x[1]-x[3]-x[4]-x[5]-x[6]-x[7]-x[8]-x[9] start=rnorm(9) up=1:9/1:9*1 lo=1:9/1:9*-1 out=optim(start,f,lower=lo,upper=up,method=L-BFGS-B,hessian=TRUE, control=list(trace=6,maxit=1000)) There are two problems in this input. the up and lo only define a range of -1~1 for x1 to x11, which can not meet the requirement (3). In addition, there is not any constraint imposed on x12. I have no idea how to specify a matrix that can impose different constraints on individual variables in a function. Any suggestion is highly appreciated. Best, Hao I don't see any direct need for real 'constraint' optimization here, it is a 'bounded' optimization where you are allowed to use lower - c(-1,0,-1,0,-1,0,0,0,0,0,0,0) upper - c( 0,1, 0,0, 0,1,1,1,1,1,1,1) Otherwise, your description is confusing: (1) Did you change f to a new function with 9 variables, eliminating x3, x4, and x12 ? (2) x4 (being equal to x1) has to be in [-1, 0] but also in [0, 1]? (3) If you need to restrict x12 to [0, 1] also, you cannot eliminate it. Either keep x12 and use an equality constraint, or use inequality
Re: [R] question about constraint minimization
dhacademic at gmail.com dhacademic at gmail.com writes:
Hi,
I have struggled on this bound optimization with equality constraint by
using optim function for two days, but still fail to prepare a good input.
Can anyone help to prepare the input for my specific case? Many thanks.
Best,
Hao
You did not disclose the the function f, is it linear or nonlinear, does it
have (many) local minima, do you know its gradient?, etc.
With some bloody tricks it is possible to emulate equality and inequality
constraints with 'optim', too. But in general, I would suggest to apply
'constrOptim.nl' in the alabama package (or 'solnp' in Rsolnp). These are
newer implementations and will handle equality constraints nicely.
Assuming your original function f12 is a function of 12 variables, e.g.
f12 - function(x) sum((1:12)*(x - 1:12)^2)
define a new function f eliminating x3, x4, and x12 through
f - function(x) {
xx1r - 1.5 - x[1] - sum(x)
x12 - c(x[1], x[2], x[1], x[1], x[3:9], xx1r)
f12(x12)
}
I would suggest 'solnp' in package Rsolnp, as the bound constraints can be
formulated somewhat easier; the start value has to be feasible(!):
lower - c(-1, 0, -1, 0, 0, 0, 0, 0, 0)
upper - c( 0, 1, 0, 1, 1, 1, 1, 1, 1)
fun - function(x) 1.5 - 2*x[1] - x[2] - sum(x[3:9])
start - c(-0.2, 0.2, -0.2, rep(0.2, 6))
S - solnp(start, f, LB=lower, UB=upper, ineqfun=fun, ineqLB=0, ineqUB=1)
This will return a (local?) minimum (-1, 0, -1, 0, 0, 0.5, 1, 1, 1) as:
S$pars
# [1] -1.00e+00 1.209474e-08 -9.99e-01 4.801754e-08 1.930926e-07
# [6] 4.99e-01 9.98e-01 1.00e+00 1.00e+00
Hans Werner
P. S.: Sorry, Ravi, but I could not resist the temptation to at least
**indicate** one complete solution.
__
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
Re: [R] question about constraint minimization
Hi, I have struggled on this bound optimization with equality constraint by using optim function for two days, but still fail to prepare a good input. Can anyone help to prepare the input for my specific case? Many thanks. Best, Hao On Sat, Nov 20, 2010 at 3:17 AM, Hans W Borchers [via R] ml-node+3051338-309339578-202...@n4.nabble.comml-node%2b3051338-309339578-202...@n4.nabble.com wrote: dhacademic at gmail.com dhacademic at gmail.com writes: Hi, I am a beginner of R. There is a question about constraint minimization. A function, y=f(x1,x2,x3x12), needs to be minimized. There are 3 requirements for the minimization: (1) x2+x3+...+x12=1.5 (x1 is excluded); (2) x1=x3=x4; (3) x1, x3 and x5 are in the range of -1~0, respectively. The rest variables (x2, x4, x6, x7, , x12) are in the range of 0~1, respectively. The optim function is used. And part of my input is as follow, where xx1r represents the x12: xx1r=1.5-x[2]-x[1]-x[1]-x[3]-x[4]-x[5]-x[6]-x[7]-x[8]-x[9] start=rnorm(9) up=1:9/1:9*1 lo=1:9/1:9*-1 out=optim(start,f,lower=lo,upper=up,method=L-BFGS-B,hessian=TRUE, control=list(trace=6,maxit=1000)) There are two problems in this input. the up and lo only define a range of -1~1 for x1 to x11, which can not meet the requirement (3). In addition, there is not any constraint imposed on x12. I have no idea how to specify a matrix that can impose different constraints on individual variables in a function. Any suggestion is highly appreciated. Best, Hao I don't see any direct need for real 'constraint' optimization here, it is a 'bounded' optimization where you are allowed to use lower - c(-1,0,-1,0,-1,0,0,0,0,0,0,0) upper - c( 0,1, 0,0, 0,1,1,1,1,1,1,1) Otherwise, your description is confusing: (1) Did you change f to a new function with 9 variables, eliminating x3, x4, and x12 ? (2) x4 (being equal to x1) has to be in [-1, 0] but also in [0, 1]? (3) If you need to restrict x12 to [0, 1] also, you cannot eliminate it. Either keep x12 and use an equality constraint, or use inequality constraints on xxlr. Hans Werner __ [hidden email] http://user/SendEmail.jtp?type=nodenode=3051338i=0mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. -- View message @ http://r.789695.n4.nabble.com/question-about-constraint-minimization-tp3050880p3051338.html To unsubscribe from question about constraint minimization, click herehttp://r.789695.n4.nabble.com/template/NamlServlet.jtp?macro=unsubscribe_by_codenode=3050880code=ZGhhY2FkZW1pY0BnbWFpbC5jb218MzA1MDg4MHwtNjM2Nzc0NA==. -- View this message in context: http://r.789695.n4.nabble.com/question-about-constraint-minimization-tp3050880p3053912.html Sent from the R help mailing list archive at Nabble.com. [[alternative HTML version deleted]] __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] question about constraint minimization
I do not understand the constraint x1 = x3 = x4. If this is correct, you only have 10 unknown parameters. If you can correctly formulate your problem, you can have a look at the packages alabama or BB. The function `auglag' in alabama or the function `spg' in BB may be useful. Ravi. --- Ravi Varadhan, Ph.D. Assistant Professor, Division of Geriatric Medicine and Gerontology School of Medicine Johns Hopkins University Ph. (410) 502-2619 email: rvarad...@jhmi.edu -Original Message- From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On Behalf Of dhacade...@gmail.com Sent: Monday, November 22, 2010 11:10 AM To: r-help@r-project.org Subject: Re: [R] question about constraint minimization Hi, I have struggled on this bound optimization with equality constraint by using optim function for two days, but still fail to prepare a good input. Can anyone help to prepare the input for my specific case? Many thanks. Best, Hao On Sat, Nov 20, 2010 at 3:17 AM, Hans W Borchers [via R] ml-node+3051338-309339578-202...@n4.nabble.comml-node%2B3051338-309339578-2 02...@n4.nabble.com wrote: dhacademic at gmail.com dhacademic at gmail.com writes: Hi, I am a beginner of R. There is a question about constraint minimization. A function, y=f(x1,x2,x3x12), needs to be minimized. There are 3 requirements for the minimization: (1) x2+x3+...+x12=1.5 (x1 is excluded); (2) x1=x3=x4; (3) x1, x3 and x5 are in the range of -1~0, respectively. The rest variables (x2, x4, x6, x7, , x12) are in the range of 0~1, respectively. The optim function is used. And part of my input is as follow, where xx1r represents the x12: xx1r=1.5-x[2]-x[1]-x[1]-x[3]-x[4]-x[5]-x[6]-x[7]-x[8]-x[9] start=rnorm(9) up=1:9/1:9*1 lo=1:9/1:9*-1 out=optim(start,f,lower=lo,upper=up,method=L-BFGS-B,hessian=TRUE, control=list(trace=6,maxit=1000)) There are two problems in this input. the up and lo only define a range of -1~1 for x1 to x11, which can not meet the requirement (3). In addition, there is not any constraint imposed on x12. I have no idea how to specify a matrix that can impose different constraints on individual variables in a function. Any suggestion is highly appreciated. Best, Hao I don't see any direct need for real 'constraint' optimization here, it is a 'bounded' optimization where you are allowed to use lower - c(-1,0,-1,0,-1,0,0,0,0,0,0,0) upper - c( 0,1, 0,0, 0,1,1,1,1,1,1,1) Otherwise, your description is confusing: (1) Did you change f to a new function with 9 variables, eliminating x3, x4, and x12 ? (2) x4 (being equal to x1) has to be in [-1, 0] but also in [0, 1]? (3) If you need to restrict x12 to [0, 1] also, you cannot eliminate it. Either keep x12 and use an equality constraint, or use inequality constraints on xxlr. Hans Werner __ [hidden email] http://user/SendEmail.jtp?type=nodenode=3051338i=0mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. -- View message @ http://r.789695.n4.nabble.com/question-about-constraint-minimization-tp30508 80p3051338.html To unsubscribe from question about constraint minimization, click herehttp://r.789695.n4.nabble.com/template/NamlServlet.jtp?macro=unsubscrib e_by_codenode=3050880code=ZGhhY2FkZW1pY0BnbWFpbC5jb218MzA1MDg4MHwtNjM2Nzc0 NA==. -- View this message in context: http://r.789695.n4.nabble.com/question-about-constraint-minimization-tp30508 80p3053912.html Sent from the R help mailing list archive at Nabble.com. [[alternative HTML version deleted]] __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] question about constraint minimization
Dear Prof. Ravi Varadhan, Many thanks for the reply. In my case, besides x1=x3, x1=x4 (x1=x3=x4 was used in last post), another constraint is needed, x2+x3+x4+...+x12=1.5. So there are 9 variables. I have downloaded your code, but I even do not know how to call your code in R program. Actually, I know very little about R. I spent lots of time to read the R help files as well as lots of post on line, and finally prepared the input file that I pasted in my last post. Unfortunately, it does not work well. Can you please help to revise the input file that can work by using the constrOptim function? Or can you plese show me how to call your code in R and send me the input file? Many thanks for your kind considerations! Best, Hao On Mon, Nov 22, 2010 at 2:31 PM, Ravi Varadhan [via R] ml-node+3054297-1984476990-202...@n4.nabble.comml-node%2b3054297-1984476990-202...@n4.nabble.com wrote: I do not understand the constraint x1 = x3 = x4. If this is correct, you only have 10 unknown parameters. If you can correctly formulate your problem, you can have a look at the packages alabama or BB. The function `auglag' in alabama or the function `spg' in BB may be useful. Ravi. --- Ravi Varadhan, Ph.D. Assistant Professor, Division of Geriatric Medicine and Gerontology School of Medicine Johns Hopkins University Ph. (410) 502-2619 email: [hidden email]http://user/SendEmail.jtp?type=nodenode=3054297i=0 -Original Message- From: [hidden email]http://user/SendEmail.jtp?type=nodenode=3054297i=1[mailto:[hidden email] http://user/SendEmail.jtp?type=nodenode=3054297i=2] On Behalf Of [hidden email]http://user/SendEmail.jtp?type=nodenode=3054297i=3 Sent: Monday, November 22, 2010 11:10 AM To: [hidden email] http://user/SendEmail.jtp?type=nodenode=3054297i=4 Subject: Re: [R] question about constraint minimization Hi, I have struggled on this bound optimization with equality constraint by using optim function for two days, but still fail to prepare a good input. Can anyone help to prepare the input for my specific case? Many thanks. Best, Hao On Sat, Nov 20, 2010 at 3:17 AM, Hans W Borchers [via R] [hidden email] http://user/SendEmail.jtp?type=nodenode=3054297i=5ml-node%2B3051338-309339578-2 [hidden email] http://user/SendEmail.jtp?type=nodenode=3054297i=6 wrote: dhacademic at gmail.com dhacademic at gmail.com writes: Hi, I am a beginner of R. There is a question about constraint minimization. A function, y=f(x1,x2,x3x12), needs to be minimized. There are 3 requirements for the minimization: (1) x2+x3+...+x12=1.5 (x1 is excluded); (2) x1=x3=x4; (3) x1, x3 and x5 are in the range of -1~0, respectively. The rest variables (x2, x4, x6, x7, , x12) are in the range of 0~1, respectively. The optim function is used. And part of my input is as follow, where xx1r represents the x12: xx1r=1.5-x[2]-x[1]-x[1]-x[3]-x[4]-x[5]-x[6]-x[7]-x[8]-x[9] start=rnorm(9) up=1:9/1:9*1 lo=1:9/1:9*-1 out=optim(start,f,lower=lo,upper=up,method=L-BFGS-B,hessian=TRUE, control=list(trace=6,maxit=1000)) There are two problems in this input. the up and lo only define a range of -1~1 for x1 to x11, which can not meet the requirement (3). In addition, there is not any constraint imposed on x12. I have no idea how to specify a matrix that can impose different constraints on individual variables in a function. Any suggestion is highly appreciated. Best, Hao I don't see any direct need for real 'constraint' optimization here, it is a 'bounded' optimization where you are allowed to use lower - c(-1,0,-1,0,-1,0,0,0,0,0,0,0) upper - c( 0,1, 0,0, 0,1,1,1,1,1,1,1) Otherwise, your description is confusing: (1) Did you change f to a new function with 9 variables, eliminating x3, x4, and x12 ? (2) x4 (being equal to x1) has to be in [-1, 0] but also in [0, 1]? (3) If you need to restrict x12 to [0, 1] also, you cannot eliminate it. Either keep x12 and use an equality constraint, or use inequality constraints on xxlr. Hans Werner __ [hidden email] http://user/SendEmail.jtp?type=nodenode=3051338i=0mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.htmlhttp://www.r-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. -- View message @ http://r.789695.n4.nabble.com/question-about-constraint-minimization-tp30508http://r.789695.n4.nabble.com/question-about-constraint-minimization-tp30508?by-user=t 80p3051338.html To unsubscribe from question about constraint minimization, click here http://r.789695.n4.nabble.com/template/NamlServlet.jtp?macro
Re: [R] question about constraint minimization
dhacademic at gmail.com dhacademic at gmail.com writes: Hi, I am a beginner of R. There is a question about constraint minimization. A function, y=f(x1,x2,x3x12), needs to be minimized. There are 3 requirements for the minimization: (1) x2+x3+...+x12=1.5 (x1 is excluded); (2) x1=x3=x4; (3) x1, x3 and x5 are in the range of -1~0, respectively. The rest variables (x2, x4, x6, x7, , x12) are in the range of 0~1, respectively. The optim function is used. And part of my input is as follow, where xx1r represents the x12: xx1r=1.5-x[2]-x[1]-x[1]-x[3]-x[4]-x[5]-x[6]-x[7]-x[8]-x[9] start=rnorm(9) up=1:9/1:9*1 lo=1:9/1:9*-1 out=optim(start,f,lower=lo,upper=up,method=L-BFGS-B,hessian=TRUE, control=list(trace=6,maxit=1000)) There are two problems in this input. the up and lo only define a range of -1~1 for x1 to x11, which can not meet the requirement (3). In addition, there is not any constraint imposed on x12. I have no idea how to specify a matrix that can impose different constraints on individual variables in a function. Any suggestion is highly appreciated. Best, Hao I don't see any direct need for real 'constraint' optimization here, it is a 'bounded' optimization where you are allowed to use lower - c(-1,0,-1,0,-1,0,0,0,0,0,0,0) upper - c( 0,1, 0,0, 0,1,1,1,1,1,1,1) Otherwise, your description is confusing: (1) Did you change f to a new function with 9 variables, eliminating x3, x4, and x12 ? (2) x4 (being equal to x1) has to be in [-1, 0] but also in [0, 1]? (3) If you need to restrict x12 to [0, 1] also, you cannot eliminate it. Either keep x12 and use an equality constraint, or use inequality constraints on xxlr. Hans Werner __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] question about constraint minimization
Sorry for the unclear description in my last post. It is an error in my last post, that x4 should be in the range of [-1, 0] as it is identical to x1. Actually I think both constraint (for the requirement 1 and 2, so there are only 9 variables) and bounded (for the requirement 3) opt are needed in my case. Does it means that the optim function can not meet my requirements, and that the constrOptim function is needed (as Joanthon mentioned)? Many thanks for the reply! Best, Hao On Sat, Nov 20, 2010 at 3:17 AM, Hans W Borchers [via R] ml-node+3051338-309339578-202...@n4.nabble.comml-node%2b3051338-309339578-202...@n4.nabble.com wrote: I don't see any direct need for real 'constraint' optimization here, it is a 'bounded' optimization where you are allowed to use lower - c(-1,0,-1,0,-1,0,0,0,0,0,0,0) upper - c( 0,1, 0,0, 0,1,1,1,1,1,1,1) Otherwise, your description is confusing: (1) Did you change f to a new function with 9 variables, eliminating x3, x4, and x12 ? (2) x4 (being equal to x1) has to be in [-1, 0] but also in [0, 1]? (3) If you need to restrict x12 to [0, 1] also, you cannot eliminate it. Either keep x12 and use an equality constraint, or use inequality constraints on xxlr. Hans Werner __ [hidden email] http://user/SendEmail.jtp?type=nodenode=3051338i=0mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.htmlhttp://www.r-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. -- View message @ http://r.789695.n4.nabble.com/question-about-constraint-minimization-tp3050880p3051338.html To unsubscribe from question about constraint minimization, click herehttp://r.789695.n4.nabble.com/template/NamlServlet.jtp?macro=unsubscribe_by_codenode=3050880code=ZGhhY2FkZW1pY0BnbWFpbC5jb218MzA1MDg4MHwtNjM2Nzc0NA==. -- View this message in context: http://r.789695.n4.nabble.com/question-about-constraint-minimization-tp3050880p3051663.html Sent from the R help mailing list archive at Nabble.com. [[alternative HTML version deleted]] __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
[R] question about constraint minimization
Hi, I am a beginner of R. There is a question about constraint minimization. A function, y=f(x1,x2,x3x12), needs to be minimized. There are 3 requirements for the minimization: (1) x2+x3+...+x12=1.5 (x1 is excluded); (2) x1=x3=x4; (3) x1, x3 and x5 are in the range of -1~0, respectively. The rest variables (x2, x4, x6, x7, , x12) are in the range of 0~1, respectively. The optim function is used. And part of my input is as follow, where xx1r represents the x12: xx1r=1.5-x[2]-x[1]-x[1]-x[3]-x[4]-x[5]-x[6]-x[7]-x[8]-x[9] start=rnorm(9) up=1:9/1:9*1 lo=1:9/1:9*-1 out=optim(start,f,lower=lo,upper=up,method=L-BFGS-B,hessian=TRUE, control=list(trace=6,maxit=1000)) There are two problems in this input. the up and lo only define a range of -1~1 for x1 to x11, which can not meet the requirement (3). In addition, there is not any constraint imposed on x12. I have no idea how to specify a matrix that can impose different constraints on individual variables in a function. Any suggestion is highly appreciated. Best, Hao -- View this message in context: http://r.789695.n4.nabble.com/question-about-constraint-minimization-tp3050880p3050880.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] question about constraint minimization
Does ?constrOptim look as though it will handle your needs? -- Jonathan P. Daily Technician - USGS Leetown Science Center 11649 Leetown Road Kearneysville WV, 25430 (304) 724-4480 Is the room still a room when its empty? Does the room, the thing itself have purpose? Or do we, what's the word... imbue it. - Jubal Early, Firefly r-help-boun...@r-project.org wrote on 11/19/2010 02:51:46 PM: [image removed] [R] question about constraint minimization dhacade...@gmail.com to: r-help 11/19/2010 03:15 PM Sent by: r-help-boun...@r-project.org Hi, I am a beginner of R. There is a question about constraint minimization. A function, y=f(x1,x2,x3x12), needs to be minimized. There are 3 requirements for the minimization: (1) x2+x3+...+x12=1.5 (x1 is excluded); (2) x1=x3=x4; (3) x1, x3 and x5 are in the range of -1~0, respectively. The rest variables (x2, x4, x6, x7, , x12) are in the range of 0~1, respectively. The optim function is used. And part of my input is as follow, where xx1r represents the x12: xx1r=1.5-x[2]-x[1]-x[1]-x[3]-x[4]-x[5]-x[6]-x[7]-x[8]-x[9] start=rnorm(9) up=1:9/1:9*1 lo=1:9/1:9*-1 out=optim(start,f,lower=lo,upper=up,method=L-BFGS-B,hessian=TRUE, control=list(trace=6,maxit=1000)) There are two problems in this input. the up and lo only define a range of -1~1 for x1 to x11, which can not meet the requirement (3). In addition, there is not any constraint imposed on x12. I have no idea how to specify a matrix that can impose different constraints on individual variables in a function. Any suggestion is highly appreciated. Best, Hao -- View this message in context: http://r.789695.n4.nabble.com/ question-about-constraint-minimization-tp3050880p3050880.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
