R help - Apr 2001 - Max/Min w/ Non-linear constraints

Hi all,

How do people do non-linear constrained maximization in R?  If in C, are 
there any packages people would recommend as being particularly easy to 
interface/hack to work with R?  And if not, does anyone want me to?

-- 
Elliot Williams (ewilliams at ucsd.edu)
Economics Department, UC San Diego
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"Elliot" == Elliot Williams <ewilliams at ucsd.edu> writes:
  Elliot>  Hi all, How do people do non-linear constrained maximization in R?
  Elliot> If in C, are there any packages people would recommend as being
  Elliot> particularly easy to interface/hack to work with R?  And if not,
  Elliot> does anyone want me to?

See  help(optim)  and in particular the sections about L-BFGS-B.

Maybe there should be a cross-reference from the optimize() help page too?

Dirk

-- 
According to the latest figures, 43% of all statistics are totally worthless.
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>> Elliot Williams <ewilliams at ucsd.edu> 04/25 6:52 PM
>>>
>> How do people do non-linear constrained maximization in R?  If in
C, are 
>> there any packages people would recommend as being particularly
easy to 
>> interface/hack to work with R?  And if not, does anyone want me
to?

It looks like R's general optimization function, optim(), 
only allows for box constraints.  I, too, sometimes need to 
solve problems with linear and sometimes non-linear
functions as constraints.

When I was in grad. school (last year), our system administrator 
wrote a matlab wrapper for "NPSOLVE," which seemed  
superior in terms of speed and accuracy as compared to the 
optimizers packaged with matlab.  It also allowed for linear
and non-linear constraints.

I always figured I would try to write an R wrapper the next time I
felt
I needed such a thing, but that hasn't happened yet.

Has anyone out there written a wrapper for NPSOLVE?

Michael Roberts
>
-- 
Elliot Williams (ewilliams at ucsd.edu)
Economics Department, UC San Diego
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