I think the problem is because the the Hessian of the augmented Lagrangian iis
singular at c(0,0).
Try this:
require(alabama)
heq <- function(x) {
x[1]^2+x[2]^2 - 1
}
> constrOptim.nl(par=c(0,0), fn=f, heq=heq, control.outer=list(trace=FALSE))
$par
[1] -0.7071067 -0.7071067
$value
[1] -1.414213
$iterations
[1] 10
$lambda
[1] -0.7068717
$penalty
[1] -6.496021e-08
$counts
function gradient
100 30
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: Gildas Mazo <gildas.mazo at curie.fr>
Date: Tuesday, August 10, 2010 10:11 am
Subject: [R] [Fwd: Re: optimization subject to constraints]
To: r-help at r-project.org
>
> ----- Original Message -----
> From Gildas Mazo <gildas.mazo at curie.fr>
> Date Tue, 10 Aug 2010 15:49:19 +0200
> To Matthias Gondan <matthias-gondan at gmx.de>
Subject Re: [R] optimization subject to constraints> Danke sch?n Matthias.
>
> I had naively started with x0 = c(0,0) and I got a "Redundant
> constraints were found" error. What's the problem with (0,0) ?
>
>
>
>
>
>
>
> Matthias Gondan a ?crit :
> > try this (package Rsolnp)
> >
> > library(Rsolnp)
> >
> > g<- function(x)
> > {
> > return(x[1]^2+x[2]^2)
> > } # constraint
> >
> > f<- function(x)
> > {
> > return(x[1]+x[2])
> > } # objective function
> >
> > x0 = c(1, 1)
> >
> > solnp(x0, fun=f, eqfun=g, eqB=c(1))
> >
> >
> >
> > Am 10.08.2010 14:59, schrieb Gildas Mazo:
> >> Thanks, but I still cannot get to solve my problem: consider this
> simple
> >> example:
> >>
> >> ########
> >>
> >> f<- function(x){
> >> return(x[1]+x[2])
> >> } # objective function
> >>
> >> g<- function(x){
> >> return(x[1]^2+x[2]^2)
> >> } # constraint
> >>
> >> #########
> >>
> >> I wanna Maximize f(x) subject to g(x) = 1. By hand the solution
is
> >> (1/sqrt(2), 1/sqrt(2), sqrt(2)). This is to maximizing a linear
function
> >> subject to a nonlinear equality constraint. I didn't find
any suitable
> >> function in the packages I went through.
> >>
> >> Thanks in advance,
> >>
> >> Gildas
> >>
> >>
> >>
> >>
> >>
> >> Spencer Graves a ?crit :
> >>> To find every help page containing the term
"constrained
> >>> optimization", you can try the following:
> >>>
> >>>
> >>> library(sos)
> >>> co<- findFn('constrained optimization')
> >>>
> >>>
> >>> "Printing" this "co" object opens
a table in a web browser
> with
> >>> all matches sorted first by the package with the most matches
and
> with
> >>> hot links to the documentation page.
> >>>
> >>>
> >>> writeFindFn2xls(co)
> >>>
> >>>
> >>> This writes an excel file, with the browser table as
the second
> >>> tab and the first being a summary of the packages. This
summary
> table
> >>> can be made more complete and useful using the
"installPackages"
> >>> function, as noted in the "sos" vignette.
> >>>
> >>>
> >>> A shameless plug from the lead author of the
"sos" package.
> >>> Spencer Graves
> >>>
> >>>
> >>> On 8/9/2010 10:01 AM, Ravi Varadhan wrote:
> >>>> constrOptim can only handle linear inequality
constraints. It cannot
> >>>> handle
> >>>> equality (linear or nonlinear) as well as nonlinear
inequality
> >>>> constraints.
> >>>>
> >>>> Ravi.
> >>>>
> >>>> -----Original Message-----
> >>>> From: r-help-bounces at r-project.org
> >>>> [ On
> >>>> Behalf Of Dwayne Blind
> >>>> Sent: Monday, August 09, 2010 12:56 PM
> >>>> To: Gildas Mazo
> >>>> Cc: r-help at r-project.org
> >>>> Subject: Re: [R] optimization subject to constraints
> >>>>
> >>>> Hi !
> >>>>
> >>>> Why not constrOptim ?
> >>>>
> >>>> Dwayne
> >>>>
> >>>> 2010/8/9 Gildas Mazo<gildas.mazo at curie.fr>
> >>>>
> >>>>> Dear R users,
> >>>>>
> >>>>> I'm looking for tools to perform optimization
subject to constraints,
> >>>>> both linear and non-linear. I don't mind which
algorithm may be
> >>>>> used, my
> >>>>> primary aim is to get something general and
easy-to-use to study
> >>>>> simples
> >>>>> examples.
> >>>>>
> >>>>> Thanks for helping,
> >>>>>
> >>>>> Gildas
> >>>>>
> >>>>> ______________________________________________
> >>>>> R-help at r-project.org mailing list
> >>>>>
> >>>>> PLEASE do read the posting guide
> >>>>>
> >>>>
> >>>>
> >>>>
> >>>> -guide.html>
> >>>>> and provide commented, minimal, self-contained,
reproducible code.
> >>>>>
> >>>> [[alternative HTML version deleted]]
> >>>>
> >>>> ______________________________________________
> >>>> R-help at r-project.org mailing list
> >>>>
> >>>> PLEASE do read the posting guide
> >>>>
> >>>> and provide commented, minimal, self-contained,
reproducible code.
> >>>>
> >>>> ______________________________________________
> >>>> R-help at r-project.org mailing list
> >>>>
> >>>> PLEASE do read the posting guide
> >>>>
> >>>> and provide commented, minimal, self-contained,
reproducible code.
> >>
> >
> > ______________________________________________
> > R-help at r-project.org mailing list
> >
> > PLEASE do read the posting guide
> >
> > and provide commented, minimal, self-contained, reproducible code.
> >
> >
>
>
> ______________________________________________
> R-help at r-project.org mailing list
>
> PLEASE do read the posting guide
> and provide commented, minimal, self-contained, reproducible code.