To solve the problem you have in general, you will need
something more powerful than 'constrOptim'. This is called
a mixed integer problem, and arises in several fields including
financial portfolio optimization.
If you really only have 3 variables, then there are only 3
combinations of 2 variables. So just solve the problem with
each set and pick the best one.
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)
Neuro LeSuperHéros wrote:
Hello,
How do I implement a cardinality constraint with constrOptim?
I want to minimize (least square) a%*%x = 4
subject to
x12
x21
x34
count(x1, x2, x3)= 2 (cardinality constraint)
Is there a way to specify binary integer variables with constrOptim?
Here's my code so far:
a -matrix(1:3,1,3)
fr - function(x) {
(a%*%x-4)^2
}
constrOptim(c(1,0.5,3),fr,grad=NULL,ui=-diag(3), ci=c(-2,-1,-4))
I need the optimization to give me one variable that is zero to satisfy the
maximum cardinality of 2.
Thanks
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