Hi,
Am having problems specifying lower and upper constraints in constrOptim...
I have a function(x)->f which takes a 5 vector array
the constraints on the elements of x are:
x[1],x[2],x[3],x[5]>0
x[4]>-1
x[1],x[2],x[3],x[4],x[5]<1
this works:
############
> x
[1] 0.400 0.200 0.200 -0.050 0.002
> optim(x,f)
$par
[1] 0.28630079 0.13583616 0.18752379 0.02231329 0.08640233
$value
[1] 0.0004999157
$counts
function gradient
230 NA
$convergence
[1] 0
$message
NULL
###########
but when I try to specify the constraints, I get this:
###########
>
constrOptim(x,f,grad=NULL,ui=rbind(diag(5),-diag(5)),ci=c(0,0,0,-1,0,1,1,1,1,1))
Error in constrOptim(x, f, grad = NULL, ui = rbind(diag(5), -diag(5)), :
initial value not feasible
>
###########
What am I doing wrong ? As above, x=c(0.400 ,0.200, 0.200,-0.050 ,0.002)
Many thanks,
Tolga
ui %*% theta - ci has to be larger than zero, and it is not:> ui=rbind(diag(5),-diag(5)) > ui[,1] [,2] [,3] [,4] [,5] [1,] 1 0 0 0 0 [2,] 0 1 0 0 0 [3,] 0 0 1 0 0 [4,] 0 0 0 1 0 [5,] 0 0 0 0 1 [6,] -1 0 0 0 0 [7,] 0 -1 0 0 0 [8,] 0 0 -1 0 0 [9,] 0 0 0 -1 0 [10,] 0 0 0 0 -1> ci=c(0,0,0,-1,0,1,1,1,1,1) > ci[1] 0 0 0 -1 0 1 1 1 1 1> x=c(0.400 ,0.200, 0.200,-0.050 ,0.002) > theta=x > ui %*% theta - ci[,1] [1,] 0.400 [2,] 0.200 [3,] 0.200 [4,] 0.950 [5,] 0.002 [6,] -1.400 [7,] -1.200 [8,] -1.200 [9,] -0.950 [10,] -1.002 try> ci[1] 0 0 0 -1 0 -1 -1 -1 -1 -1 hth, ingmar On 4/9/05 12:29 PM, "Tolga Uzuner" <tolga at coubros.com> wrote:> Hi, > > Am having problems specifying lower and upper constraints in constrOptim... > > I have a function(x)->f which takes a 5 vector array > the constraints on the elements of x are: > x[1],x[2],x[3],x[5]>0 > x[4]>-1 > x[1],x[2],x[3],x[4],x[5]<1 > > this works: > ############ >> x > [1] 0.400 0.200 0.200 -0.050 0.002 >> optim(x,f) > $par > [1] 0.28630079 0.13583616 0.18752379 0.02231329 0.08640233 > > $value > [1] 0.0004999157 > > $counts > function gradient > 230 NA > > $convergence > [1] 0 > > $message > NULL > ########### > but when I try to specify the constraints, I get this: > ########### >> > constrOptim(x,f,grad=NULL,ui=rbind(diag(5),-diag(5)),ci=c(0,0,0,-1,0,1,1,1,1,1 > )) > Error in constrOptim(x, f, grad = NULL, ui = rbind(diag(5), -diag(5)), : > initial value not feasible >> > ########### > What am I doing wrong ? As above, x=c(0.400 ,0.200, 0.200,-0.050 ,0.002) > > Many thanks, > Tolga > > ______________________________________________ > R-help at stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html-- Ingmar Visser Department of Psychology, University of Amsterdam Roetersstraat 15, 1018 WB Amsterdam The Netherlands http://users.fmg.uva.nl/ivisser/ tel: +31-20-5256735
subtle... thanks, that works, appreciate it Ingmar Visser wrote:> ui %*% theta - ci has to be larger than zero, and it is not: > > > >>ui=rbind(diag(5),-diag(5)) >>ui >> >> > [,1] [,2] [,3] [,4] [,5] > [1,] 1 0 0 0 0 > [2,] 0 1 0 0 0 > [3,] 0 0 1 0 0 > [4,] 0 0 0 1 0 > [5,] 0 0 0 0 1 > [6,] -1 0 0 0 0 > [7,] 0 -1 0 0 0 > [8,] 0 0 -1 0 0 > [9,] 0 0 0 -1 0 >[10,] 0 0 0 0 -1 > > >>ci=c(0,0,0,-1,0,1,1,1,1,1) >>ci >> >> > [1] 0 0 0 -1 0 1 1 1 1 1 > > >>x=c(0.400 ,0.200, 0.200,-0.050 ,0.002) >>theta=x >>ui %*% theta - ci >> >> > [,1] > [1,] 0.400 > [2,] 0.200 > [3,] 0.200 > [4,] 0.950 > [5,] 0.002 > [6,] -1.400 > [7,] -1.200 > [8,] -1.200 > [9,] -0.950 >[10,] -1.002 > >try > > >>ci >> >> > [1] 0 0 0 -1 0 -1 -1 -1 -1 -1 > >hth, ingmar > >On 4/9/05 12:29 PM, "Tolga Uzuner" <tolga at coubros.com> wrote: > > > >>Hi, >> >>Am having problems specifying lower and upper constraints in constrOptim... >> >>I have a function(x)->f which takes a 5 vector array >>the constraints on the elements of x are: >>x[1],x[2],x[3],x[5]>0 >>x[4]>-1 >>x[1],x[2],x[3],x[4],x[5]<1 >> >>this works: >>############ >> >> >>>x >>> >>> >>[1] 0.400 0.200 0.200 -0.050 0.002 >> >> >>>optim(x,f) >>> >>> >>$par >>[1] 0.28630079 0.13583616 0.18752379 0.02231329 0.08640233 >> >>$value >>[1] 0.0004999157 >> >>$counts >>function gradient >> 230 NA >> >>$convergence >>[1] 0 >> >>$message >>NULL >>########### >>but when I try to specify the constraints, I get this: >>########### >> >> >>constrOptim(x,f,grad=NULL,ui=rbind(diag(5),-diag(5)),ci=c(0,0,0,-1,0,1,1,1,1,1 >>)) >>Error in constrOptim(x, f, grad = NULL, ui = rbind(diag(5), -diag(5)), : >> initial value not feasible >> >> >>########### >>What am I doing wrong ? As above, x=c(0.400 ,0.200, 0.200,-0.050 ,0.002) >> >>Many thanks, >>Tolga >> >>______________________________________________ >>R-help at stat.math.ethz.ch mailing list >>https://stat.ethz.ch/mailman/listinfo/r-help >>PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html >> >> > > >