Hello:
I have been trying to program the following maximization problem and would
definitely welcome some help.
the target function: sum_{i} f(alpha, beta'X_{i}),
where alpha and beta are unknown d-dim parameter,
f is a known function an X_{i} are i.i.d. r.v.
I need to maximize the above sum, under the constaint that:
beta'X_{i}+alpha<=1, for i=1,...,n.
For one dimension, it is kind of trivial. What should I do with high
dimensional alpha and beta? Thanks for your time,
Shuangge Ma, Ph.D.
On Mon, 13 Sep 2004, Shuangge Ma wrote: constrOptim() will do this, but it isn't a particularly efficient algorithm when the number of constraints is large. -thomas> Hello: > I have been trying to program the following maximization problem and would > definitely welcome some help. > > the target function: sum_{i} f(alpha, beta'X_{i}), > where alpha and beta are unknown d-dim parameter, > f is a known function an X_{i} are i.i.d. r.v. > I need to maximize the above sum, under the constaint that: > beta'X_{i}+alpha<=1, for i=1,...,n. > > For one dimension, it is kind of trivial. What should I do with high > dimensional alpha and beta? Thanks for your time, > > Shuangge Ma, Ph.D. > > ______________________________________________ > R-help at stat.math.ethz.ch mailing list > stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! R-project.org/posting-guide.html >Thomas Lumley Assoc. Professor, Biostatistics tlumley at u.washington.edu University of Washington, Seattle