[R] Non-linearly constrained optimisation

From: <tolga.i.uzuner_at_jpmorgan.com>
Date: Sat, 19 Jul 2008 23:10:35 +0100


Dear R Users,
I am looking for some guidance on setting up an optimisation in R with non-linear constraints.

Here is my simple problem:
- I have a function h(inputs) whose value I would like to maximise

This means the 'inputs' must not only lie within the bounds specified by the 'upper' and 'lower' bounds, but they must also not take on values such that f(inputs) and g(inputs) take on values outside defined values. h, f and g are all non-linear.

I believe constroptim would work if f and g were linear. Alas, they are not. Is there any other way I can achieve this in R ?

Thanks in advance,
Tolga

Generally, this communication is for informational purposes only and it is not intended as an offer or solicitation for the purchase or sale of any financial instrument or as an official confirmation of any transaction. In the event you are receiving the offering materials attached below related to your interest in hedge funds or private equity, this communication may be intended as an offer or solicitation for the purchase or sale of such fund(s). All market prices, data and other information are not warranted as to completeness or accuracy and are subject to change without notice. Any comments or statements made herein do not necessarily reflect those of JPMorgan Chase & Co., its subsidiaries and affiliates.

This transmission may contain information that is privileged, confidential, legally privileged, and/or exempt from disclosure under applicable law. If you are not the intended recipient, you are hereby notified that any disclosure, copying, distribution, or use of the information contained herein (including any reliance thereon) is STRICTLY PROHIBITED. Although this transmission and any attachments are believed to be free of any virus or other defect that might affect any computer system into which it is received and opened, it is the responsibility of the recipient to ensure that it is virus free and no responsibility is accepted by JPMorgan Chase & Co., its subsidiaries and affiliates, as applicable, for any loss or damage arising in any way from its use. If you received this transmission in error, please immediately contact the sender and destroy the material in its entirety, whether in electronic or hard copy format. Thank you.
Please refer to http://www.jpmorgan.com/pages/disclosures for disclosures relating to UK legal entities.



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 19 Jul 2008 - 22:14:26 GMT

Archive maintained by Robert King, hosted by the discipline of statistics at the University of Newcastle, Australia.
Archive generated by hypermail 2.2.0, at Sun 20 Jul 2008 - 21:32:45 GMT.

Mailing list information is available at https://stat.ethz.ch/mailman/listinfo/r-help. Please read the posting guide before posting to the list.

list of date sections of archive