On Mon, 13 Sep 2004, Shuangge Ma wrote:
constrOptim() will do this, but it isn't a particularly efficient algorithm when the number of constraints is large.
-thomas
Hello: I have been trying to program the following maximization problem and would definitely welcome some help.
the target function: sum_{i} f(alpha, beta'X_{i}), where alpha and beta are unknown d-dim parameter, f is a known function an X_{i} are i.i.d. r.v. I need to maximize the above sum, under the constaint that: beta'X_{i}+alpha<=1, for i=1,...,n.
For one dimension, it is kind of trivial. What should I do with high dimensional alpha and beta? Thanks for your time,
Shuangge Ma, Ph.D.
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Thomas Lumley Assoc. Professor, Biostatistics [EMAIL PROTECTED] University of Washington, Seattle
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