Re: [R] Non-linearly constrained optimisation

From: Stuart Nettleton <stuart.nettleton_at_optusnet.com.au>
Date: Sun, 20 Jul 2008 13:03:14 +1000

Tolga,
Your issue seems to be a common one at present. While I am relatively new to R (and would welcome being corrected), I haven't been able to find an existing module to parse algebraic equations and build acyclic networks (for the objective function and each constraint) to submit to solving routines (such as optim, BB, Patrick Burns' genopt from S Poetry, Algencan etc). Certainly there are the components to build one, for example topological sort packages like mathgraph and Carter Butts' network. I have implemented acyclic networks in three major projects and so I have started to contemplate the missing package in both R and Mathematica. At this point I am significantly further advanced in Mathematica, building from Eric Swanson's excellent perturbationAIM package. Yet it seems slightly odd to me that the required functionality hasn't been developed in R up to this point in time. Many people need this functionality, the network algorithms have been around for forty years and there are many solvers, even open source ones like ipopt. Of course, the "big guns" in this field are GAMS and AMPL and it is perhaps their overwhelming presence or respect for the developers of these packages that has led R developers to be somewhat cautious about releasing code in this area. However, there are already alternatives. For a quasi open source version of AMPL you could use Dr Ampl (http://www.gerad.ca/~orban/drampl/ ) or write your problem in GAMS or AMPL format and submit to the Neos server either directly (http://neos.mcs.anl.gov/neos/) or by using pyneos.py (www.gerad.ca/~orban/pyneos/pyneos.py). I really hope this gets worked out in R at some stage!
Stuart

On Sun, 20 Jul 2008 08:10:35 +1000, <tolga.i.uzuner_at_jpmorgan.com> wrote:

> 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
> - the 'inputs' are subject to lower and upper bounds
> - however, I have some further constraints: I would like to constrain the
> values for two other separate function f(inputs) and g(inputs) to be
> within
> certain bounds
>
> 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
>
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