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You could reparametrize or use constrOptim, Hth, Ingmar> From: Florian Staab <Florian.Staab at Uni-Osnabrueck.de> > Date: Mon, 29 May 2006 12:08:59 +0200 > To: <r-help at stat.math.ethz.ch> > Subject: [R] parameter-restrictions in OPTIM > > Hallo, I'm trying to optimize a function A which calls another function B > internally. > > This function A has got two input parameters, say a1 and a2. > > Using OPTIM there ist no problem restricting these parameters: > > 0 <= a1 <= 1 and 0 <= a2 <= 1. > > My problem is an additional restriction > > 0 <= a1+a2 <= 1. > > I'd be grateful if you could show me an easy way to find a solution using > OPTIM? > > If not, which other function is applicable? > > > > Thanks for your help, > > Florian Staab > > > > > > > > _____ > > Dipl.-Kfm. Florian Staab > Universit?t Osnabr?ck > Fachbereich Wirtschaftswissenschaften > Statistik / Empirische Wirtschaftsforschung > > Rolandstr. 8 (Raum 208) > D-49069 Osnabr?ck > Tel: 0541-969-2756 > Fax: 0541-969-12756 > Email: florian.staab at uos.de > Homepage: http://nts4.oec.uni-osnabrueck.de/stat1/stat1.htm > > _____ > > > > > [[alternative HTML version deleted]] > > ______________________________________________ > 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
One trick is to add a penalty to your function for violations of the linear constraint. However, if the constraint is binding, then gradient methods may not perform well since the objective won't be differentiable there. If the constraint looks to be binding, then you can reparameterize to a single parameter. Patrick Burns patrick at burns-stat.com +44 (0)20 8525 0696 http://www.burns-stat.com (home of S Poetry and "A Guide for the Unwilling S User") Florian Staab wrote:>Hallo, I'm trying to optimize a function A which calls another function B >internally. > >This function A has got two input parameters, say a1 and a2. > >Using OPTIM there ist no problem restricting these parameters: > >0 <= a1 <= 1 and 0 <= a2 <= 1. > >My problem is an additional restriction > >0 <= a1+a2 <= 1. > >I'd be grateful if you could show me an easy way to find a solution using >OPTIM? > >If not, which other function is applicable? > > > >Thanks for your help, > >Florian Staab > > > > > > > > _____ > >Dipl.-Kfm. Florian Staab >Universit?t Osnabr?ck >Fachbereich Wirtschaftswissenschaften >Statistik / Empirische Wirtschaftsforschung > >Rolandstr. 8 (Raum 208) >D-49069 Osnabr?ck >Tel: 0541-969-2756 >Fax: 0541-969-12756 >Email: florian.staab at uos.de >Homepage: http://nts4.oec.uni-osnabrueck.de/stat1/stat1.htm > > _____ > > > > > [[alternative HTML version deleted]] > > > >------------------------------------------------------------------------ > >______________________________________________ >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 >