Re: [R] maximization help :

From: Spencer Graves <spencer.graves_at_pdf.com>
Date: Wed 04 May 2005 - 09:21:20 EST

          Have you considered something like the following:

multilogit <- function(p){

	k <- length(p)
	z <- log(p)
	(z[-k]-z[k])

}

inv.multilogit <- function(z){

	k1 <- length(z)
	p. <- exp(z)
	p.i <- (1+sum(p.))
	(c(p., 1)/p.i)

}

multilogit(c(.1,.2,.7))
inv.multilogit(multilogit(c(.1,.2,.7)))
inv.multilogit(1:2)
multilogit(inv.multilogit(1:2))

prodSum <- function(x, A, log.=TRUE,

	trace.=FALSE, neg=TRUE){
	p <- inv.multilogit(x)
	if(trace.)cat("p =", p, ";")
	logP <- sum(log(A%*%p))
	{if(log.){
		if(neg) return(-logP)
		else return(logP)
		}
	else
		return(exp(logP))
	}

}

prodSum(1:2, diag(3), trace.=T)
sum(log(inv.multilogit(1:2)))

prodSum(0:1, diag(3), trace.=T)
sum(log(inv.multilogit(0:1)))

optim(c(0,0), fn=prodSum, hessian=TRUE, A=diag(3),

        method="CG", control=list(trace=999))
optim(1:2, fn=prodSum, hessian=TRUE, A=diag(3),

        method="CG", control=list(trace=999))

A <- array(c(1,1,1,0), dim=c(2,2))
optim(1, fn=prodSum, hessian=TRUE, A=A,

        method="CG", control=list(trace=999))

A <- array(c(1,1,0, 0, 1, 1), dim=c(3,2)) optim(1, fn=prodSum, hessian=TRUE, A=A,

        method="CG", control=list(trace=999))

There may be a more elegant solution based on singular values of A, but I don't see it.

	  hope this helps.
	  spencer graves

mingan yang wrote:

>
>
> Given a vector : pvec=(p1,p2,.... p J) with sum(pvec)=1, all the
> elements are non-negative, that is, they are probabilities
>
> a matrix A ( N* J ), with the elements alpha(ij) are 0 or 1
>
>
> I want to MAXIMIZE THE RESULT
>
> RESULT= product( i=1, to N [ sum ( alpha(ij)* pj , j =1,to J )
> ] )
>
> thus, I need to get pvec. how should I do ?
>
> for example
> say, A= 0 1 0 0
> 1 1 0 0
> 1 0 0 0
> 0 0 1 0
> 1 0 0 1
> 0 0 0 1
>
> that is A is a matrix 6* 4 thus pvec=(p1,p2,p3,p4)
>
> I want to get values of pvec such that , they can maximize
>
> p2 * ( p1 + p2 ) * p1 * p3 * (p1+p4) * p4
>
>
> thanks
>
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R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Wed May 04 09:25:30 2005

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