Displaying 20 results from an estimated 3000 matches similar to: "How to formulate constraint like abs(x) = y in constrOptim (or other)"
2012 Dec 07
1
Error using constrOptim in constraint definition
Hello,
I'm trying to run constrOptim. It returns to me an error about the fact that constraints arguments (ui and ci) are non compatibles:
> optout= constrOptim(startparams, f=ImpulseSS, grad=grImpulse, ui=UI, ci=CI, data=gexp[k,], t=t)
Error in ui %*% theta : non-conformable arguments
I would like to point out that I can calculate that product in the command line:
> UI %*%
2007 Aug 02
1
constraint in constrOptim
I'm using the function constrOptim together with the "SANN" method and
my objective function (f) has two parameters. One of the parameters
needs be into (2^(-10), 2^4) range and the other into (2^(-2), 2^12)
range. How can I do it using constrOptim??
Thank you
André Rossi
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2006 Oct 06
1
Relative constraint using constrOptim?
I am trying to optimize a likelihood function using constrOptim. I
know from prior research that, e.g. x1>x2. Is there a way to include
that constraint into the optimization routine, i.e. the ci
constraint? The examples I found only use absolute numeric values for
the constraint and not relative values. My attempts to include it
into ci failed: e.g. ci=c(1, x[1]).
Am I using the
2012 Sep 17
2
Constraint Optimization with constrOptim
Hi,
I am having trouble using constrOptim. My target is to do a portfolio optimization and there some constraints have to be fulfilled.
1) The weight of each share of the portfolio has to be greater than 0
2) The sum of these weights has to be 1
I am able to fulfill either the first or the second constraint but not both.
One simple way would be to fulfill the first constraint by using optim as
2008 Jun 08
2
optim, constrOptim: setting some parameters equal to each other
Hello, and apologies for the upcoming naive questions. I am a biologist who is trying to teach himself the appropriate areas of math and stats. I welcome pointers to suggested background reading just as much as I do direct answers to my question.
Let's say I have a function F() that takes variables (a,b,c,a1,b1,c1) and returns x, and I want to find the values of these variables that result in
2008 Jan 03
1
EQUALITY constraints in 'constrOptim'
Does anybody know to introduce EQUALITY constraints in 'constrOptim'
function?
BR, Shubha
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2008 Mar 14
1
Optimization with constraint.
Hello.
I have some problems, when I try to model an
optimization problem with some constraints.
The original problem cannot be solved analytically, so
I have to use routines like "Simulated Annealing" or
"Sequential Quadric Programming".
But to see how all this works in R, I would like to
start with some simple problem to get to know the
basics:
The Problem:
min f(x1,x2)=
2006 Dec 08
1
MAXIMIZATION WITH CONSTRAINTS
Dear R users,
I?m a graduate students and in my master thesis I must
obtain the values of the parameters x_i which maximize this
Multinomial log?likelihood function
log(n!)-sum_{i=1]^4 log(n_i!)+sum_
{i=1}^4 n_i log(x_i)
under the following constraints:
a) sum_i x_i=1,
x_i>=0,
b) x_1<=x_2+x_3+x_4
c)x_2<=x_3+x_4
I have been using the
?ConstrOptim? R-function with the instructions
2006 Feb 01
1
output hessian matrix in constrOptim
Hi,
Is there any way to get the hessian matrix from the "constrOptim" function without supplying gradient function? Thanks.
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2004 Jul 14
2
constrOptim and function with additional parameters?
How can I use a function with some additional input parameters
in constrOptim? For example, something like
fr <- function(x,a) { ## Rosenbrock Banana function
x1 <- x[1]
x2 <- x[2]
a * (x2 - x1 * x1)^2 + (1 - x1)^2
}
where the optimum is to be found w.r.t. x. Calling
optim(c(-1.2,1), fr, NULL, a=100) works as expected, but I fail
to provide the a=100 in the constrained case:
2009 Jun 03
1
Using constrOptim() function
I have a function myFunction(beta,x) where beta is a vector of coefficients
and x is a data frame (think of it as a matrix). I want to optimize the
function myFunction() by ONLY changing beta, i.e. x stays constant, with 4
constraints. I have the following code (with a separate source file for the
function):
rm(list=ls())
source('mySourceFile')
2003 Oct 29
1
constrOptim doesn´t send arguments to optim!(?)
Hi,
I think that there something wrong with the 'constrOptim' max/minimization
function because she doesn?t send extra arguments to 'optim' call.
Fact: When I use optim in a f(x,theta)-like function, everything goes ok.
But using constrOptim with the same function leads to error...
Proof: Make a small change in the 'Rosenbrock Banana function' (taken from
the Examples
2010 Jun 17
2
constrOptim( ): conflict between help page and code
There is a contradiction between what the help page says and what constrOptim actually
does with the constraints. The issue is what happens on the boundary.
The help page says
The feasible region is defined by ?ui %*% theta - ci >= 0?,
but the R code for constrOptim reads
if (any(ui %*% theta - ci <= 0))
stop("initial value not feasible")
The following example
2011 Dec 20
1
constrOptim and problem with derivative
Dear List,
I am using constrOptim to solve the following
fr1 <- function(x) {
b0 <- x[1]
b1 <- x[2]
((1/(1+exp(-b0+b1))+(1/(1+exp(-b0)))+(1/(1+exp(-b0-b1)))))/3
}
As you can see, my objective function is
((1/(1+exp(-b0+b1))+(1/(1+exp(-b0)))+(1/(1+exp(-b0-b1)))))/3 and I would
like to solve for both b0 and b1.
If I were to use optim then I would derive the gradient of the
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))
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] + ... +
2009 Apr 23
6
Stuck using constrOptim
Trying to use constrOptim to minimize the sum of squared deviations. I put
the objective function in as: sum((x %*% Y - Z)^2) so i'm trying to get
values for x to minimize the sum of the squared deviations between the
product of x and Y and Z.
Anyways i have no problem using this when x is a 3x1 test variable. it
works great with the constraints and everything. when i actually use it on
2005 Sep 26
2
constrOptim (PR#8158)
Full_Name: Haobo Ren
Version: 2.1.1
OS: Windows 2000
Submission from: (NULL) (192.11.226.116)
When running constrOptim, there is error message
Error: subscript out of bounds
2010 Mar 17
1
constrOptim - error: initial value not feasible
Hello at all,
working with a dataset I try to optimize a non-linear function with
constraint.
test<-read.csv2("C:/Users/Herb/Desktop/Opti/NORM.csv")
fkt<- function(x){
a<-c(0)
s<-c(0)
#Minimizing square error
for(j in 1:107){
s<-(test[j,2] - (x[1] * test[j,3]) - (x[2] * test[j,4]) - (x[3]*test[j,5]) -
(x[4]*test[j,6]) - (x[5]*test[j,7]))^2
a<- a+s}
a<-as.double(a)
2008 Jan 18
1
constrOptim with method SANN
Hi Everyone,
I'm trying to minimize a function using constrOptim with
the simulated annealing method SANN.
If I understand constrOptim well, it basically passes most
of its arguments to optim while somehow enforcing the constraints.
My problem is, that since SANN does not need gradients,
when using optim with SANN, the gr argument of optim is
used to specify a function to create the next