Dear list,
I think there is a small bug in the constrOptim documentation (R-2.7.0):
## from optim
fr <- function(x) { ## Rosenbrock Banana function
x1 <- x[1]
x2 <- x[2]
100 * (x2 - x1 * x1)^2 + (1 - x1)^2
}
grr <- function(x) { ## Gradient of 'fr'
x1 <- x[1]
x2 <- x[2]
c(-400 * x1 * (x2 - x1 * x1) - 2 * (1 - x1),
200 * (x2 - x1 * x1))
}
optim(c(-1.2,1), fr, grr)
#Box-constraint, optimum on the boundary
constrOptim(c(-1.2,0.9), fr, grr, ui=rbind(c(-1,0),c(0,-1)),ci=c(-1,-1))
# x<=0.9, y-x>0.1 <<-- here
constrOptim(c(.5,0), fr, grr, ui=rbind(c(-1,0),c(1,-1)), ci=c(-0.9,0.1))
I think the ui/ci bounds translate to x <= 0.9 and x-y > 0.1, not y-x
Could anybody confirm this, please?
Best wishes,
Matthias