Displaying 20 results from an estimated 6000 matches similar to: "fmincon equivalent in R"
2009 Feb 05
2
Non-linear optimisation
Hi there,
I have a piece of Matlab code I use to optimise a trding strategy. If there
are any Matlab/R specialists out there, I would appreciate your help in
doing the exact same optimisation in R.
I suspect I would use nlm() in R but am not sure where to define my
constraints.
I have attached my Matlab code below for reference.
Many thanks.
Constraints
function [c,ceq]=TriskellConstraints(X)
2005 Nov 28
3
Looking for constrained optimisation code
_______________________________________________________________________________________
Hi,
I was just wondering if there was any available R code that could handle
general constrained optimisation problems. At the moment I'm using
nlminb and optim, both of which allow box constraints on the parameters,
but ideally I'd like to be able to specify more general constraints on
the solution
2004 Aug 09
4
linear constraint optim with bounds/reparametrization
Hello All,
I would like to optimize a (log-)likelihood function subject to a number of
linear constraints between parameters. These constraints are equality
constraints of the form A%*%theta=c, ie (1,1) %*% 0.8,0.2)^t = 1 meaning
that these parameters should sum to one. Moreover, there are bounds on the
individual parameters, in most cases that I am considering parameters are
bound between zero
2004 Feb 24
5
Nonlinear Optimization
Hi,
I have been brought back to the "R-Side" from MatLab. I have used R in
graduate econometrics but only for statistics and regression (linear and
nonlinear). But now I need to run general nonlinear optimization.
I know about the add-in quadprog but my problem is not QP. My problem is a
general nonlinear (obj funct) with linear constraints.I know about the "ms"
and
2009 Jul 02
2
constrained optimisation in R.
i want to estimate parameters with maximum likelihood method with contraints (contant numbers).
for example
sum(Ai)=0 and sum(Bi)=0
i have done it without the constraints but i realised that i have to use the contraints.
Without constraints(just a part-not complete):
skellamreg_LL=function(parameters,z,design)
{
n=length(z);
mu=parameters[1];
H=parameters[2];
Apar=parameters[3:10];
2009 Jan 28
2
constrainOptim
Dear R helpers
I have a question regarding the constrainOptim.
I'm coding the nested logit and would like to set a bound of rho to (0,1] as an extreme value distribution where rho = exp(lambda)/1+exp(lambda)
I wonder if I can do that directly in optim (say rho > 0 & <= 1) or need to use constrainOptim
I read the help but still don't know how to set ui and ci
Thanks,
June
2009 Sep 11
1
constrOptim parameters
Dear R wizards: I am playing (and struggling) with the example in the
constrOptim function. simple example. let's say I want to constrain my
variables to be within -1 and 1. I believe I want a whole lot of
constraints where ci is -1 and ui is either -1 or 1. That is, I have 2*N
constraints. Should the following work?
N=10
x= rep(1:N)
ci= rep(-1, 2*N)
ui= c(rep(1, N), rep(-1, N))
2003 Oct 31
1
help with constrOptim function
Hello. I had previously posted a question concerning the optimization
of a nonlinear function conditional on equality constraints. I was
pointed towards the contrOptim function. However, I do not understand
the syntax of this function with respect to specifying the constraints
and so I don’t know if it is what I need. The command is:
constrOptim(theta, f, grad,ui,ci,…). “theta” is the
2006 Nov 26
2
Quadratic Optimization
Hi,
I need to solve an optimization problem in R having linear objective function and quadratic constraints(number of variables is around 80). What are the possible choices to do this in R.
optim() function only allows box constrained problems. Is it possible in nlm()? Or please tell me if there is any other routine.
Thanks
Amit
2009 May 21
2
good numerical optimization to use in R?
Hi all,
Could anybody point me to a good/robust numerical optimization program
to use in R?
I am doing some MLE fitting. Thanks!
2010 Sep 17
1
Nonlinear programming problem
Hello useRs,
I'm using the command "solnp" in package "Rsolnp" to solve a general nonlinear programming problem. But I got an error that " the leading minor of order 15 is not positive definite
". Can anybody tell what may cause this error? Does it have something to do with the starting values?
Thanks a lot!!!
Xiaoxi
[[alternative HTML version
2007 Jun 13
1
specify constraints in maximum likelihood
Hi,I know only mle function but it seems that in mle one can only specify the bound of the unknowns forming the likelihood function. But I would like to specify something like, a = 2b or a <= 2b where 'a' and 'b' could be my parameters in the likelihood function. Any help would be really appreciated. Thank you!- adschai
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2007 Aug 01
1
constrOptim
Hi,
I'm having trouble using the constrOptim function to generate the
9-component vector argmin of the function ELfsds:
ELfsds <- function(pvechat){
LG=0
for(i in 1:9){
LG=LG+log(pvechat[i])
}
return(-LG)
}
with accompanying gradient function:
gradfunc <- function(thetavec){
g=1/(9*thetavec)
return(g)
}
The constraints on the optimization problem are:
1 - components of
2005 May 22
3
constraints
Is there a package in R that handles general linear (in-)equality + box
constrained optimization?
If it is not there, could anyone advise me which way to go?
And/or point me to packages that solve these problems partially?
best, ingmar
--
Ingmar Visser
Department of Psychology, University of Amsterdam
Roetersstraat 15, 1018 WB Amsterdam
The Netherlands
http://users.fmg.uva.nl/ivisser/
tel:
2011 Sep 08
3
global optimisation with inequality constraints
Dear All,
I would like to minimise a nonlinear function subject to linear inequality constraints as part of an R program. I have been using the constrOptim function. I have tried all of the methods that come with Optim, but nothing finds the correct solution. If I use the correct solution as the vector of starting values, though, my program does output the correct solution and optimum - the
2009 Nov 04
3
Constrained Optimization
Hi All,
I'm trying to do the following constrained optimization example.
Maximize x1*(1-x1) + x2*(1-x2) + x3*(1-x3)
s.t. x1 + x2 + x3 = 1
x1 >= 0 and x1 <= 1
x2 >= 0 and x2 <= 1
x3 >= 0 and x3 <= 1
which are the constraints.
I'm expecting the answer x1=x2=x3 = 1/3.
I tried the "constrOptim" function in R and I'm running into some issues.
I first start off
2008 Jun 17
2
constrOptim with method = "L-BFGS-B"
Hi,
i need to minimize a quadratic function with boundary condidtions and one
equality condition.
In order to do that i converted the equality constraint into 2 inequality
constaints and passed everything cia constrOptim, as the manual said:
everything included in the ... will be passed to Optim that will pass it
back to fn in case it does not need it.
My code is the following:
mat <-
2005 May 20
3
constrained optimization
Hello,
I've got to compute a minimization equation under an equality constraint
(Min g(x1,x2,x3) with x1+x2=const). The Constroptim function does not
authorize an equality condition but only inequality conditions. Which
function can I use instead?
Thank you very much for your help.
Gael Robert - +33 1 42 14 27 96
******************************************************************
This
2006 May 11
3
Please help me to combine two datasets.
Dear r-users,
Suppose I have two data sets
data set-1
Date height
------------------------
1/11/2005 10
2/11/2005 23
3/11/2005 54
4/11/2005 21
5/11/2005 22
data set-2
weight
--------
32
45
11
Now I want to combine this two data sets. i.e. i want to see:
Date height weight
-------------------------------------------
3/11/2005 54
2004 Apr 27
1
constrOptim does ineq, not eq, but who do ?
Hi everybody,
please, could you give me help ? I scanned the help archives and didn't
found hints...
I want to solve a large sparse linear system subjected to an inequality
constrains (all solutions positive) and an equality constrain (all
solutions sum to 1), thus I tried to fool constrOptim using:
x[1] + 0 + ... + 0 >= 0
...
0 + 0 + ... + x[n] >= 0
x[1] + x[2] + ... +