I think fine tuning the function might be in order.
The function has just a single penalty for not meeting
the constraints no matter how close it is to meeting
them. A better approach is to have a penalty that
depends on the amount by which all of the constraints
are breached.
Patrick Burns
, but it works in many cases.
Paul
- Original Message -
From: Paul Smith [EMAIL PROTECTED]
Date: Tuesday, July 3, 2007 7:32 pm
Subject: Re: [R] Fine tunning rgenoud
To: R-help r-help@stat.math.ethz.ch
On 7/4/07, Ravi Varadhan [EMAIL PROTECTED] wrote:
It should be easy enough
0.00136226156979156 2.47224893929883e-11
0.00121959537442013 0.00249964872330666 1.58514632925203e-05
0.213308634647407
- Original Message -
From: Paul Smith [EMAIL PROTECTED]
Date: Wednesday, July 4, 2007 6:00 am
Subject: Re: [R] Fine tunning rgenoud
To: R-help
Smith [EMAIL PROTECTED]
Date: Wednesday, July 4, 2007 6:00 am
Subject: Re: [R] Fine tunning rgenoud
To: R-help r-help@stat.math.ethz.ch
On 7/4/07, RAVI VARADHAN [EMAIL PROTECTED] wrote:
Here is another approach: I wrote an R function that would generate
interior points as starting
Dear All,
I am trying to solve the following maximization problem, but I cannot
have rgenoud giving me a reliable solution.
Any ideas?
Thanks in advance,
Paul
library(rgenoud)
v - 0.90
O1 - 10
O2 - 20
O0 - v*O1+(1-v)*O2
myfunc - function(x) {
U0 - x[1]
U1 -
]
[mailto:[EMAIL PROTECTED] On Behalf Of Paul Smith
Sent: Tuesday, July 03, 2007 4:10 PM
To: R-help
Subject: [R] Fine tunning rgenoud
Dear All,
I am trying to solve the following maximization problem, but I cannot
have rgenoud giving me a reliable solution.
Any ideas?
Thanks in advance,
Paul
that the solution is
right. That is why I am trying to get a solution with rgenoud, but
unsuccessfully until now.
Paul
-Original Message-
From: [EMAIL PROTECTED]
[mailto:[EMAIL PROTECTED] On Behalf Of Paul Smith
Sent: Tuesday, July 03, 2007 4:10 PM
To: R-help
Subject: [R] Fine
-Original Message-
From: [EMAIL PROTECTED]
[mailto:[EMAIL PROTECTED] On Behalf Of Paul Smith
Sent: Tuesday, July 03, 2007 5:10 PM
To: R-help
Subject: Re: [R] Fine tunning rgenoud
On 7/3/07, Ravi Varadhan [EMAIL PROTECTED] wrote:
You had
-
From: [EMAIL PROTECTED]
[mailto:[EMAIL PROTECTED] On Behalf Of Paul Smith
Sent: Tuesday, July 03, 2007 5:10 PM
To: R-help
Subject: Re: [R] Fine tunning rgenoud
On 7/3/07, Ravi Varadhan [EMAIL PROTECTED] wrote:
You had indicated in your previous email that you are having trouble
finding
by constrOptim is not interior; the gradient is not equal to
zero.
Paul
-Original Message-
From: [EMAIL PROTECTED]
[mailto:[EMAIL PROTECTED] On Behalf Of Paul Smith
Sent: Tuesday, July 03, 2007 5:10 PM
To: R-help
Subject: Re: [R] Fine tunning rgenoud
On 7/3/07, Ravi Varadhan
: Paul Smith [EMAIL PROTECTED]
Date: Tuesday, July 3, 2007 7:32 pm
Subject: Re: [R] Fine tunning rgenoud
To: R-help r-help@stat.math.ethz.ch
On 7/4/07, Ravi Varadhan [EMAIL PROTECTED] wrote:
It should be easy enough to check that your solution is valid (i.e.
a local
minimum): first, check
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