Re: [R] Optimization under an absolute value constraint
this should be possible in the lasso2 package.
url:www.econ.uiuc.edu/~rogerRoger Koenker
email[EMAIL PROTECTED]Department of Economics
vox: 217-333-4558University of Illinois
fax: 217-244-6678Champaign, IL 61820
On Sep 7, 2007, at 1:17 PM, Phil Xiang wrote:
I need to optimize a multivariate function f(w, x, y, z, ...) under
an absolute value constraint. For instance:
min { (2x+y) (w-z) }
under the constraint:
|w| + |x| + |y| + |z| = 1.0 .
Is there any R function that does this? Thank you for your help!
Phil Xiang
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Re: [R] Optimization under an absolute value constraint
On 9/7/07, Phil Xiang [EMAIL PROTECTED] wrote:
I need to optimize a multivariate function f(w, x, y, z, ...) under an
absolute value constraint. For instance:
min { (2x+y) (w-z) }
under the constraint:
|w| + |x| + |y| + |z| = 1.0 .
Is there any R function that does this? Thank you for your help!
I think that the minimum value of the function
f(x) := -2*x*(1-x), with 0 = x = 1
is also the minimum value of the objective function of your problem
(but correct me if I am wrong). Thus,
x y w z
-0.50 0 -0.5
-0.50 0.1 -0.4
-0.50 0.3 -0.2
0.5 0 -0.50
-0.50 0.5 0
0.5 0 -0.40.1
0.5 0 -0.20.3
0.5 0 0 0.5
are all solutions for your problem.
Paul
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and provide commented, minimal, self-contained, reproducible code.
