Le 18/05/12 00:14, Nathan Stephens a écrit :
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?
I had similar problem to solve (x were frequencies) and optimization
stops before to reach the global maximum. As hwborch...@googlemail.com
indicates, I fitted {x}-1 values because the last one is known by the
equality constraint.
For the vector constraints, I used w <- -Inf when x goes out of the limits.
Finally I used Bayesian mcmc to get the convergence and it works much
better.
I don't know why in this case the optim does not converge.
Hope it hepls,
Marc
--
__________________________________________________________
Marc Girondot, Pr
Laboratoire Ecologie, Systématique et Evolution
Equipe de Conservation des Populations et des Communautés
CNRS, AgroParisTech et Université Paris-Sud 11 , UMR 8079
Bâtiment 362
91405 Orsay Cedex, France
Tel: 33 1 (0)1.69.15.72.30 Fax: 33 1 (0)1.69.15.73.53
e-mail: marc.giron...@u-psud.fr
Web: http://www.ese.u-psud.fr/epc/conservation/Marc.html
Skype: girondot
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