[R] having problems with constrOptim

From: Tolga Uzuner <tolga_at_coubros.com>
Date: Sun 10 Apr 2005 - 02:29:55 EST


Hi,

Am having problems specifying lower and upper constraints in constrOptim...

I have a function(x)->f which takes a 5 vector array the constraints on the elements of x are:

x[1],x[2],x[3],x[5]>0
x[4]>-1
x[1],x[2],x[3],x[4],x[5]<1

this works:
############
> x

[1] 0.400 0.200 0.200 -0.050 0.002
> optim(x,f)

$par
[1] 0.28630079 0.13583616 0.18752379 0.02231329 0.08640233

$value
[1] 0.0004999157

$counts
function gradient

     230 NA

$convergence
[1] 0

$message
NULL
###########
but when I try to specify the constraints, I get this: ###########
>

constrOptim(x,f,grad=NULL,ui=rbind(diag(5),-diag(5)),ci=c(0,0,0,-1,0,1,1,1,1,1)) Error in constrOptim(x, f, grad = NULL, ui = rbind(diag(5), -diag(5)), :

        initial value not feasible
>

###########
What am I doing wrong ? As above, x=c(0.400 ,0.200, 0.200,-0.050 ,0.002)

Many thanks,
Tolga



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