Saptarshi Guha
2007-Nov-05 16:22 UTC
[R] A question regarding two dimensional optimization with constraints
Hello, I have an optimization problem which I would like to solve in R but am not sure how to approach this. I have a cost function C which is quadratic in rx and ry (if it helps, the cost function is separable in rx and ry) and is always positive for all rx,ry. I wish to maximize C subject to two convex constraints both of which are quadratic in rx and ry (if it helps, both are separable in rx and ry) and always positive. I do realize that because the intersection of the two constraints is convex and the solutions lie on the boundary of the intersection and it is possible to arrive at the optima analytically. However I would like a numerical approach via some optimization libraries in R. Could someone suggest some pointers as to how i could go about solving this in R? Which libraries should I use? Thank you for your time and help. Regards Saptarshi