From: Hans W Borchers <hwborchers_at_googlemail.com>

Date: Sat, 26 Mar 2011 10:07:26 +0000

R-help_at_r-project.org mailing list

https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Sat 26 Mar 2011 - 10:13:23 GMT

Date: Sat, 26 Mar 2011 10:07:26 +0000

sammyny <sjain <at> caa.columbia.edu> writes:

*>
*

> I am trying to use

*> http://rss.acs.unt.edu/Rdoc/library/stats/html/constrOptim.html in R to do
**> optimization in R with some given linear constraints but not able to figure
**> out how to set up the problem.
**>
**> For example, I need to maximize $f(x,y) = log(x) + \frac{x^2}{y^2}$ subject
**> to constraints $g_1(x,y) = x+y < 1$, $g_2(x,y) = x > 0$ and $g_3(x,y) = y >
**> 0$. How do I do this in R? This is just a hypothetical example. Do not worry
**> about its structure, instead I am interested to know how to set this up in
**> R.
**>
**> thanks!
**>
*

To get a reasonable solution, avoid coming near to x=0 and y=0. With x >= 0.0001 and y >= 0.0001 constrOptim() can be called as follows:

constrOptim(c(0.25, 0.25), function(x) -log(x[1])-x[1]^2/x[2]^2, NULL,

matrix(c(-1,1,0, -1,0,1), 3, 2), c(-1, 0.0001, 0.0001))

--Hans Werner

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