Re: [R] Non-linearly constrained optimisation

From: Hans W. Borchers <hwborchers_at_googlemail.com>
Date: Sun, 20 Jul 2008 13:28:00 -0700 (PDT)

Please have a look at the 'Rdonlp2' package at <http://arumat.net/Rdonlp2/>. It provides non-linear optinization with nonlinear constraints, so it may be exactly what you are looking for.

Whether this algorithm is powerful enough for your task has to be seen. There are examples on the Web page that will enable a quick start.

You did not give information about the complexity of your task, nor whether you are seeking local or global solutions.

Hans Werner Borchers
ABB Corporate Research

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




Hans W. Borchers
ABB Corporate Research Germany
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