One trick is to add a penalty to your function for violations of the linear constraint. However, if the constraint is binding, then gradient methods may not perform well since the objective won't be differentiable there. If the constraint looks to be binding, then you can reparameterize to a single parameter.
Patrick Burns [EMAIL PROTECTED] +44 (0)20 8525 0696 http://www.burns-stat.com (home of S Poetry and "A Guide for the Unwilling S User") Florian Staab wrote: >Hallo, I'm trying to optimize a function A which calls another function B >internally. > >This function A has got two input parameters, say a1 and a2. > >Using OPTIM there ist no problem restricting these parameters: > >0 <= a1 <= 1 and 0 <= a2 <= 1. > >My problem is an additional restriction > >0 <= a1+a2 <= 1. > >I'd be grateful if you could show me an easy way to find a solution using >OPTIM? > >If not, which other function is applicable? > > > >Thanks for your help, > >Florian Staab > > > > > > > > _____ > >Dipl.-Kfm. Florian Staab >Universität Osnabrück >Fachbereich Wirtschaftswissenschaften >Statistik / Empirische Wirtschaftsforschung > >Rolandstr. 8 (Raum 208) >D-49069 Osnabrück >Tel: 0541-969-2756 >Fax: 0541-969-12756 >Email: [EMAIL PROTECTED] >Homepage: http://nts4.oec.uni-osnabrueck.de/stat1/stat1.htm > > _____ > > > > > [[alternative HTML version deleted]] > > > >------------------------------------------------------------------------ > >______________________________________________ >[email protected] mailing list >https://stat.ethz.ch/mailman/listinfo/r-help >PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html > ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
