Re: [R] Question about Constraint Optimization

From: Hans W. Borchers <hwborchers_at_googlemail.com>
Date: Fri, 27 Jun 2008 01:10:52 -0700 (PDT)

Have a look at the following R-help entry in March:

    https://stat.ethz.ch/pipermail/r-help/2008-March/157249.html

with an example of how to use 'optim' with equality constraints. This will also work with no gradient and 'method="SANN" '.

In my experience, solutions received with "SANN" were not too convincing. If you look for 'evolutionary computing' approaches, Differential Evolution as in 'DEoptim' -- though slower -- will give more accurate results in general.

Hans Werner Borchers

HNie wrote:
>
> Dear All,
>
> I am having trouble in using R function "constrOptim" to do constraint
> optimization. It seems that "constrOptim" calls function "optim" when it
> does the optimization, and "optim" allows us to set "method" to be "SANN"
> if we want to use simulated annealing. In "optim", the function allows us
> to set gradient to be NULL when we treat "method" as "SANN". But in
> "constrOptim", the function does not allow us to set gradient as "SANN" if
> we set "method" to be "SANN". I am just curious about it.
>
> I just wonder whether I am able to apply simulated annealing in to
> constraint optimization function "constrOptim". Could someone help?
>
> Thanks very much!
>
> Sincerely,
> Hui
>
> [[alternative HTML version deleted]]
>
> ______________________________________________
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>
>




Hans W. Borchers
ABB Corporate Research Germany
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