Re: [Rd] constrained optimization

From: Paul Bailey <pdbailey_at_umd.edu>
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.

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