Hi, I have been brought back to the "R-Side" from MatLab. I have used R in graduate econometrics but only for statistics and regression (linear and nonlinear). But now I need to run general nonlinear optimization. I know about the add-in quadprog but my problem is not QP. My problem is a general nonlinear (obj funct) with linear constraints.I know about the "ms" and "nls" functions, but these seem only for nonlinear regression, not nonlinear minimization. I am looking for a pure non-linear optimization module. The nonlinear optimization functions I used in MatLab are "fmincon" and "fminunc" Is there any nonlinear optimization algorithm for R? Thanks. Rob
On Tue, Feb 24, 2004 at 09:21:49AM -0500, Kissell, Robert [EQRE] wrote:> nonlinear). But now I need to run general nonlinear optimization. > > I know about the add-in quadprog but my problem is not QP. My problem is a > general nonlinear (obj funct) with linear constraints.I know about the "ms" > and "nls" functions, but these seem only for nonlinear regression, not > nonlinear minimization. I am looking for a pure non-linear optimization > module. > > The nonlinear optimization functions I used in MatLab are "fmincon" and > "fminunc" > > Is there any nonlinear optimization algorithm for R?You did try help(optim) didn't you? Hth, Dirk -- The relationship between the computed price and reality is as yet unknown. -- From the pac(8) manual page
"optim"? Kissell, Robert [EQRE] wrote:>Hi, > >I have been brought back to the "R-Side" from MatLab. I have used R in >graduate econometrics but only for statistics and regression (linear and >nonlinear). But now I need to run general nonlinear optimization. > >I know about the add-in quadprog but my problem is not QP. My problem is a >general nonlinear (obj funct) with linear constraints.I know about the "ms" >and "nls" functions, but these seem only for nonlinear regression, not >nonlinear minimization. I am looking for a pure non-linear optimization >module. > >The nonlinear optimization functions I used in MatLab are "fmincon" and >"fminunc" > >Is there any nonlinear optimization algorithm for R? > > >Thanks. > > >Rob > >______________________________________________ >R-help at stat.math.ethz.ch mailing list >https://www.stat.math.ethz.ch/mailman/listinfo/r-help >PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html > >
Kissell, Robert [EQRE] wrote:> Hi, > > I have been brought back to the "R-Side" from MatLab. I have used R in > graduate econometrics but only for statistics and regression (linear and > nonlinear). But now I need to run general nonlinear optimization. > > I know about the add-in quadprog but my problem is not QP. My problem is a > general nonlinear (obj funct) with linear constraints.I know about the "ms" > and "nls" functions, but these seem only for nonlinear regression, not > nonlinear minimization. I am looking for a pure non-linear optimization > module. > > The nonlinear optimization functions I used in MatLab are "fmincon" and > "fminunc" > > Is there any nonlinear optimization algorithm for R? >See ?optim Uwe Ligges> Thanks. > > > Rob > > ______________________________________________ > R-help at stat.math.ethz.ch mailing list > https://www.stat.math.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
On Tue, 24 Feb 2004, Kissell, Robert [EQRE] wrote:> Hi, > > I have been brought back to the "R-Side" from MatLab. I have used R in > graduate econometrics but only for statistics and regression (linear and > nonlinear). But now I need to run general nonlinear optimization. > > I know about the add-in quadprog but my problem is not QP. My problem is a > general nonlinear (obj funct) with linear constraints.I know about the "ms" > and "nls" functions, but these seem only for nonlinear regression, not > nonlinear minimization. I am looking for a pure non-linear optimization > module. > > The nonlinear optimization functions I used in MatLab are "fmincon" and > "fminunc" > > Is there any nonlinear optimization algorithm for R? >There are three: nlm(), using a Newton-type algorithm, unconstrained optim(), with a palette of algorithms including the box-constrained L-BFGS-B constrOptim(), using an adaptive log-barrier for linear constraints, with optim() used for the actual optimisation. and probably more in add-on packages. -thomas
I found> help.search("optimization")gave constrOptim(base) Linearly constrained optimisation optim(base) General-purpose Optimization optimize(base) One Dimensional Optimization and there is also nlm which is not showing up there. optim() provides several algorithms in a single wrapper. On Tue, 24 Feb 2004, Kissell, Robert [EQRE] wrote:> Hi, > > I have been brought back to the "R-Side" from MatLab. I have used R in > graduate econometrics but only for statistics and regression (linear and > nonlinear). But now I need to run general nonlinear optimization. > > I know about the add-in quadprog but my problem is not QP. My problem is a > general nonlinear (obj funct) with linear constraints.I know about the "ms" > and "nls" functions, but these seem only for nonlinear regression, not > nonlinear minimization. I am looking for a pure non-linear optimization > module. > > The nonlinear optimization functions I used in MatLab are "fmincon" and > "fminunc" > > Is there any nonlinear optimization algorithm for R?-- Brian D. Ripley, ripley at stats.ox.ac.uk Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595