Re: [R] constrOptim with method = "L-BFGS-B"

From: Hans W. Borchers <hwborchers_at_googlemail.com>
Date: Wed, 18 Jun 2008 01:28:10 -0700 (PDT)

Dear Georges,

if you are interested in optimization methods in R, there is the Optimization Task View that has been set up only a few weeks ago. Most likely it covers all the optimization algorithms available in R packages.

For constraint handling there have been some postings in April and May about how to do this with 'optim' or 'constrOptim'.

If the error message says there are infinite values then this is probably true: So maybe you should check your function that is to be optimized (or the gradient function).

Consider that 'optim' is a _local_ optimizer, so the solution will heavily depend on your starting values. There have been some discussions on local and global optimizers in the postings as well. The Optimization Task View is quite careful about this difference.

Best regards, Hans Werner

lhaba wrote:
>
> Thank you for your answer.
>
> I posted this problem as it is because I am benchmarking multiple solvers
> over this particular problem.
>
> I will enquire LowRankQP, kernlab and quadprog packages as you suggested.
>
> Thank you
>
> Georges
>

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Received on Wed 18 Jun 2008 - 09:55:34 GMT

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