Re: [Rd] constrained optimization

From: Christophe Dutang <dutangc_at_gmail.com>
Date: Thu, 08 Jul 2010 15:11:11 +0200

Dear Paul,

No I haven't tried to use L-BFGS-B algorithm with bounds. Let me check if a variable change can be used on my problem.

Thanks

Christophe

Le 7 juil. 2010 à 19:49, Paul Bailey a écrit :

>
> 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: http://r.789695.n4.nabble.com/constrained-optimization-tp2280809p2281282.html
> Sent from the R devel mailing list archive at Nabble.com.
>
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--
Christophe Dutang
Ph.D. student at ISFA, Lyon, France
website: http://dutangc.free.fr

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