Displaying 2 results from an estimated 2 matches for "constraint1".
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constraints
2004 Oct 12
2
constrained optimization using nlm/optim?
...ample of a simple R script that impliments a
contrained nonlinear function using nlm or optim. I'm not exactly sure how
to impliment the constraints within the objective function that is passed
to nlm/optim.
obj.func <- function( p ) {
x(p) <- unconstrained obj function value
if( constraint1 > something ) {
obj.func <- x(p)
} else {
obj.func <- some super huge number
}
}
p <- c(0.1,2.4, 5)
nlm( obj.func, p, and a bunch of other arguments )
Any suggestions would be very helpful...
Jeff.
--
Jeff D. Hamann
Forest Informatics, Inc.
PO Box 1421
Corvalli...
2012 Sep 17
2
Constraint Optimization with constrOptim
...rtingEstimatesNegativ = matrix(rep(-1/9, 9), nrow=1, ncol=9, byrow=TRUE)
#The function which should be minimized
x <- matrixStartingEstimates
fkt <- function(x) {t(x) %*% covarianceMatrix %*% x}
#The constraints
#The results should be greater 0 !DOES NOT WORK!
constraint1 <- x[1:9]
#The summ of the results should be between 0.999 and 1.001
constraint2 <- sum(matrixStartingEstimatesNegativ)
constraint3 <- sum(x)
constraintMatrix <- rbind(constraint1, constraint2, constraint3)
constraintVektor <- c(0, -1.00001, 0.99999)
#Optimization
constrOptim(s...