On May 18, 2012, at 00:14 , Nathan Stephens wrote: > I have a very simple maximization problem where I'm solving for the vector > x: > > objective function: > w'x = value to maximize > > box constraints (for all elements of w): > low < x < high > > equality constraint: > sum(x) = 1 > > But I get inconsistent results depending on what starting values I. I've > tried various packages but none seem to bee the very solver in Excel. Any > recommendations on what packages or functions I should try?
Sounds like a linear programming problem, so perhaps one of the packages that are specialized for that? lpSolve looks like it should do it. (As a general matter: There's nothing simple about constrained maximization problems, and generic optimizers aren't really geared towards dealing with large sets of constraints.) > > --Nathan > > [[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. -- Peter Dalgaard, Professor, Center for Statistics, Copenhagen Business School Solbjerg Plads 3, 2000 Frederiksberg, Denmark Phone: (+45)38153501 Email: pd....@cbs.dk Priv: pda...@gmail.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.
