Re: [Rd] constrained optimization

From: Dominick Samperi <djsamperi_at_gmail.com>
Date: Wed, 07 Jul 2010 14:09:13 -0400

On Wed, Jul 7, 2010 at 1:49 PM, Paul Bailey <pdbailey_at_umd.edu> wrote:

>
> 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.
>

Yes, the code is in <R>/src/appl/lbfgsb.c. There is a C++ interface in the cxxPack
package (cxxPack/src/optimize.cpp, class ConstrainedMinimizer). I haven't yet included
an example. If there is interest I will.

Dominick

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