R help - Nov 2005 - Looking for constrained optimisation code

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Hi,

I was just wondering if there was any available R code that could handle
general constrained optimisation problems. At the moment I'm using
nlminb and optim, both of which allow box constraints on the parameters,
but ideally I'd like to be able to specify more general constraints on
the solution space.

Even if code isn't readily available, any tips on how to persuade
optim/nlminb to cope with general constraints would also be much
appreciated.

Thanks!


-- 
Hong Ooi
Senior Research Analyst, IAG Limited
388 George St, Sydney NSW 2000
(02) 9292 1566


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On Mon, 28 Nov 2005, Hong Ooi wrote:
>
> Hi,
>
> I was just wondering if there was any available R code that could handle
> general constrained optimisation problems. At the moment I'm using
> nlminb and optim, both of which allow box constraints on the parameters,
> but ideally I'd like to be able to specify more general constraints on
> the solution space.
>
constrOptim() allows linear inequality constraints.

 	-thomas

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You know, this is the first time I've heard of constrOptim.
 
I actually have a rather complicated, nonlinear boundary expression in
mind, so this function by itself isn't quite what I'm after. Still, I
should be able to hack up a barrier function in my own code and feed
that into optim/nlminb/constrOptim.

Thanks!


-- 
Hong Ooi
Senior Research Analyst, IAG Limited
388 George St, Sydney NSW 2000
(02) 9292 1566

-----Original Message-----
From: Thomas Lumley [mailto:tlumley at u.washington.edu] 
Sent: Tuesday, 29 November 2005 5:31 AM
To: Hong Ooi
Cc: r-help at stat.math.ethz.ch
Subject: Re: [R] Looking for constrained optimisation code

On Mon, 28 Nov 2005, Hong Ooi wrote:
>
> Hi,
>
> I was just wondering if there was any available R code that could
handle
> general constrained optimisation problems. At the moment I'm using
> nlminb and optim, both of which allow box constraints on the
parameters,
> but ideally I'd like to be able to specify more general constraints on
> the solution space.
>
constrOptim() allows linear inequality constraints.

 	-thomas



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The information transmitted in this message and its attachme...{{dropped}}

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Ah! I didn't notice this until now.

Yes, following Nocedal & Wright (excellent book, that) I've defined a
quadratic penalty function to enforce an equality constraint, and added
it to the objective. (Originally I had an inequality constraint in mind,
but the equality one doesn't run into problems when you're on the
boundary -- as is likely to happen in this case -- and gets the job
done.) Getting the gradient right was a bit tedious, but it seems to be
working now.

I did find an interesting thing in working with both Splus and R,
though. In Splus, both optim and nlminb run fairly slowly with a pure-S
objective function supplied, even when it was as vectorized as I could
make it. So I thought to compile the objective function in C, and this
sped it up by a factor of 2-4x. On the other hand, the pure-S version
actually ran quite fast in R, and the compiled version actually _slowed_
it down by a small but noticeable amount.

Is this a common experience? Is the R interpreter so efficient that
using compiled code is unlikely to improve speed further? (I'm using R
2.2 and Splus 7.04, on a Windows XP workstation with 3GB of memory.)


-- 
Hong Ooi
Senior Research Analyst, IAG Limited
388 George St, Sydney NSW 2000
+61 (2) 9292 1566
-----Original Message-----
From: Spencer Graves [mailto:spencer.graves at pdf.com] 
Sent: Tuesday, 29 November 2005 12:58 PM
To: Hong Ooi
Cc: Thomas Lumley; r-help at stat.math.ethz.ch
Subject: Re: [R] Looking for constrained optimisation code

	  Have you considered migrating the constraints into the
objective 
function, then cranking up the penalty for constraint violation once you

have a more or less feasible solution?

	  spencer graves

Hong Ooi wrote:
>
________________________________________________________________________
_______________
> 
> 
> You know, this is the first time I've heard of constrOptim.
>  
> I actually have a rather complicated, nonlinear boundary expression in
> mind, so this function by itself isn't quite what I'm after. Still,
I
> should be able to hack up a barrier function in my own code and feed
> that into optim/nlminb/constrOptim.
> 
> Thanks!
> 
> 
-- 
Spencer Graves, PhD
Senior Development Engineer
PDF Solutions, Inc.
333 West San Carlos Street Suite 700
San Jose, CA 95110, USA

spencer.graves at pdf.com
www.pdf.com <http://www.pdf.com>
Tel:  408-938-4420
Fax: 408-280-7915



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