Re: [Rd] constrained optimization

From: Paul Bailey <>
Date: Wed, 07 Jul 2010 10:49:43 -0700 (PDT)

Have you considered using the optim function with L-BFGS-B for bounded optimization. Obviously, you will have to do changes of variables so that everything is in terms of a rectangle (which is the type of bounding that it accepts).

I believe it is based on "A LIMITED MEMORY ALGORITHM FOR BOUND CONSTRAINED OPTIMIZATION" By Richard H Byrd, Peihuang Lu, Jorge Nocedal, and Ciyou Zhu. Technical Report NAM-08, May 1994.

They also have a paper on the exact implementation. I also believe that R uses the code from Nocedal et al.

View this message in context:
Sent from the R devel mailing list archive at

______________________________________________ mailing list
Received on Wed 07 Jul 2010 - 17:51:53 GMT

Archive maintained by Robert King, hosted by the discipline of statistics at the University of Newcastle, Australia.
Archive generated by hypermail 2.2.0, at Thu 08 Jul 2010 - 16:10:12 GMT.

Mailing list information is available at Please read the posting guide before posting to the list.

list of date sections of archive