R help - Mar 2009 - constraint optimization: solving large scale general nonlinear problems

Hi

I need advice regarding constraint optimization with large number of
variables. 

I need to solve the following problem

   max      f(x1,...,xn)
  x1,..xn
  
    x1=g1(x1,...,xn)
    .
    .
    xn=gn(x1,...,xn) 

I am using Rdonlp2  package which works well until 40 variables in my
case. I need to solve this problem with over 300 variables. In this case
Rdonlp2 is very  very slowly. I know that in Matlab exists  Knitro
(http://www.ziena.com/knitro.htm.) for large optimization problems.

It will be great if you can suggest me some alternatives solutions.


Thanks in advance,
Florin



-- 
         Florin G. Maican            
=================================
Ph.D. candidate,                    
Department of Economics,
School of Business, Economics and Law,             
Gothenburg University, Sweden       
-----------------------------------
    P.O. Box 640 SE-405 30,         
    Gothenburg, Sweden              

 Mobil:  +46 76 235 3039             
 Phone:  +46 31 786 4866             
 Fax:    +46 31 786 4154              
 Home Page: http://maicanfg.googlepages.com/index.html
 E-mail: florin.maican at handels.gu.se 
------------------------------------
 "Not everything that counts can be 
 counted, and not everything that can be 
 counted counts."
                         --- Einstein ---

Can you tell us more about your obj function, f, and the equality constraints
g_k?

Do you really have as many equality constraints as the number of variables?  Are
these all non-linear?  Can't you find the roots of this system of equations?
If yes, you could find all the roots (with multiple starts or some other search
technique) and choose the one that maximizes f(x).

Ravi.
____________________________________________________________________

Ravi Varadhan, Ph.D.
Assistant Professor,
Division of Geriatric Medicine and Gerontology
School of Medicine
Johns Hopkins University

Ph. (410) 502-2619
email: rvaradhan at jhmi.edu


----- Original Message -----
From: Florin Maican <florin.maican at handels.gu.se>
Date: Friday, March 27, 2009 2:01 pm
Subject: [R] constraint optimization: solving large scale general nonlinear
problems
To: r-help <r-help at r-project.org>

> Hi
>  
>  I need advice regarding constraint optimization with large number of
>  variables. 
>  
>  I need to solve the following problem
>  
>     max      f(x1,...,xn)
>    x1,..xn
>    
>      x1=g1(x1,...,xn)
>      .
>      .
>      xn=gn(x1,...,xn) 
>  
>  I am using Rdonlp2  package which works well until 40 variables in my
>  case. I need to solve this problem with over 300 variables. In this case
>  Rdonlp2 is very  very slowly. I know that in Matlab exists  Knitro
>  ( for large optimization problems.
>  
>  It will be great if you can suggest me some alternatives solutions.
>  
>  
>  Thanks in advance,
>  Florin
>  
>  
>  
>  -- 
>           Florin G. Maican            
>  =================================>  
>  Ph.D. candidate,                    
>  Department of Economics,
>  School of Business, Economics and Law,             
>  Gothenburg University, Sweden       
>  -----------------------------------
>      P.O. Box 640 SE-405 30,         
>      Gothenburg, Sweden              
>  
>   Mobil:  +46 76 235 3039             
>   Phone:  +46 31 786 4866             
>   Fax:    +46 31 786 4154              
>   Home Page: 
>   E-mail: florin.maican at handels.gu.se 
>  ------------------------------------
>   "Not everything that counts can be 
>   counted, and not everything that can be 
>   counted counts."
>                           --- Einstein ---
>  
>  ______________________________________________
>  R-help at r-project.org mailing list
>  
>  PLEASE do read the posting guide 
>  and provide commented, minimal, self-contained, reproducible code.