Re: [R] Constrained minimization solver for nonlinear programming

From: tom soyer <tom.soyer_at_gmail.com>
Date: Wed, 9 Jan 2008 11:10:21 -0600

Thanks Paul. I will try it.

On 1/9/08, Paul Smith <phhs80_at_gmail.com> wrote:
>
> On Jan 9, 2008 2:13 PM, tom soyer <tom.soyer@gmail.com> wrote:
> > Thanks Paul. I thought constrOptim does not do equality. I will check
> again.
>
> Indeed, constrOptim does not do equality constraints, but, trough
> penalties, one can add them.
>
> > A concrete example for finding a solution based on a target value
> > min or max would be something like this: let's say I am trying
> exponential
> > smoothing on a time series and would like to find a solution for the
> > smoothing constant that instead of minimizes the root mean square error
> > (RMSE), it targets a particular value of RMSE. Is this possible in R?
>
> Yes, Tom, R can do that for you. Apply the exponential smoothing. At
> the end, you get the RMSE as an expression depending on alpha (the
> smoothing parameter). Then use
>
> uniroot
>
> to solve the following equation
>
> RMSE == "your desired value for RMSE".
>
> Please, notice that this is not an optimization problem.
>
> Paul
>
>
> >
> >
> >
> > On 1/9/08, Paul Smith <phhs80_at_gmail.com> wrote:
> > >
> > >
> > >
> > > On Jan 9, 2008 1:14 PM, tom soyer <tom.soyer_at_gmail.com> wrote:
> > > > Thanks Paul. yes, with equality constraints. What are "friends"? I
> > the
> > > > document for optim, but still could not figure out how to do this.
> Do
> > you
> > > > just set the lower bound equal to the upper bound?
> > >
> > > constrOptim is a friend of optim. See ?constrOptim.
> > >
> > > Could you please provide a concrete example of an optimization problem
> > > that you would like R solving it?
> > >
> > > > Also, is it possible to ask R to search for a solution based on a
> target
> > > > value instead of min and max? Is there a function like that in R?
> > >
> > > Could you please provide a concrete example?
> > >
> > > Paul
> > >
> > >
> > >
> > > > On 1/9/08, Paul Smith <phhs80_at_gmail.com > wrote:
> > > > >
> > > > >
> > > > >
> > > > > On Jan 9, 2008 4:01 AM, tom soyer <tom.soyer_at_gmail.com> wrote:
> > > > > > I noticed that R has a few bound-constrained nonlinear min and
> max
> > > > solvers,
> > > > > > such as optim, nlm, etc. But I could not find a constrained min
> and
> > max
> > > > > > solver that is not LP. Does this mean R do not have this
> capability?
> > It
> > > > is
> > > > > > hard to believe that R may not be as advanced as Excel in
> certain
> > > > areas...
> > > > > > Maybe it's there but I missed it? Does anyone know?
> > > > >
> > > > > Do you mean optimization solvers for nonlinear problems with
> equality
> > > > > constraints? If so, you can use optim and friends with penalties
> to
> > > > > incorporate equality constraints.
> > > > >
> > > > > Paul
> > > > >
> > > > >
> > > > > ______________________________________________
> > > > > R-help_at_r-project.org mailing list
> > > > > https://stat.ethz.ch/mailman/listinfo/r-help
> > > > http://www.R-project.org/posting-guide.html
> > > > > and provide commented, minimal, self-contained, reproducible code.
> > > > >
> > > >
> > > >
> > > >
> > > > --
> > > > Tom
> > >
> > > ______________________________________________
> > >
> > > R-help_at_r-project.org mailing list
> > > https://stat.ethz.ch/mailman/listinfo/r-help
> > http://www.R-project.org/posting-guide.html
> > > and provide commented, minimal, self-contained, reproducible code.
> > >
> >
> >
> >
> > --
> > Tom
>
> ______________________________________________
> R-help_at_r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>

```--
Tom

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