Re: [R] Optim with two constraints

From: Alexis Diamond <alexisjdiamond_at_gmail.com>
Date: Thu 20 Oct 2005 - 06:47:27 EST

Hello,

I have a follow-up from Jens's question and Professor Ripley's response.

Jens wants to do quadratic optimization with 2 constraints:

> > > # I need two constraints:
> > > # 1. each element in par needs to be between 0 and 1
> > > # 2. sum(par)=1, i.e. the elements in par need to sum to 1

how does one set both constraints in quadprog, per Prof. Ripley's suggestion?

i know how to get quadprog to handle the second constraint, but not BOTH, since quadprog only takes as inputs the constraint matrix "A" and constraint vector "b"--
unlike in "ipop" (kernlab), there is no additional option for box constraints.

apologies if i am not seeing something obvious here.

thanks in advance,

alexis

On 10/19/05, Jens Hainmueller <jhainm@fas.harvard.edu> wrote:
>
>
> > -----Ursprüngliche Nachricht-----
> > Von: Prof Brian Ripley [mailto:ripley@stats.ox.ac.uk]
> > Gesendet: Thursday, October 13, 2005 2:46 AM
> > An: Jens Hainmueller
> > Cc: r-help@stat.math.ethz.ch
> > Betreff: Re: [R] Optim with two constraints
> >
> > This is actually quadratic programming, so why do you want to
> > use optim()?
> > There are packages specifically for QP, e.g. quadprog.
> >
> > A more general approach is to eliminate one variable, which
> > gives you an inequality constrained problem in n-1 variables
> > to which you could apply contrOptim(). Other
> > re-parametrizations (e.g. of weights as a log-linear model)
> > will work provided none of the parameters are going to be
> > zero at the optimum (one cannot be one without all the others
> > being zero).
> >
> > On Wed, 12 Oct 2005, Jens Hainmueller wrote:
> >
> > > Hi R-list,
> > >
> > > I am new to optimization in R and would appreciate help on the
> > > following question. I would like to minimize the following function
> > > using two
> > > constraints:
> > >
> > > ######
> > > fn <- function(par,H,F){
> > >
> > > fval <- 0.5 * t(par) %*% H %*% par + F%*% par
> > > fval
> > >
> > > }
> > >
> > > # matrix H is (n by k)
> > > # matrix F is (n by 1)
> > > # par is a (n by 1) set of weights
> > >
> > > # I need two constraints:
> > > # 1. each element in par needs to be between 0 and 1 # 2.
> > sum(par)=1
> > > i.e. the elements in par need to sum to 1
> > >
> > > ## I try to use optim
> > > res <- optim(c(runif(16),fn, method="L-BFGS-B", H=H, F=f
> > > ,control=list(fnscale=-1), lower=0, upper=1) ######
> > >
> > > If I understand this correctly, using L-BFGS-B with lower=0 and
> > > upper=1 should take care of constraint 1 (box constraints).
> > What I am
> > > lacking is the skill to include constraint no 2.
> > >
> > > I guess I could solve this by reparametrization but I am
> > not sure how
> > > exactly. I could not find (i.e. wasn't able to infer) the answer to
> > > this in the archives despite the many comments on optim and
> > > constrained optimization (sorry if I missed it there). I am
> > using version 2.1.1 under windows XP.
> > >
> > > Thank you very much.
> > >
> > > Jens
> > >
> > > ______________________________________________
> > > 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
> > >
> >
> > --
> > Brian D. Ripley, ripley@stats.ox.ac.uk
> > Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
> > University of Oxford, Tel: +44 1865 272861 (self)
> > 1 South Parks Road, +44 1865 272866 (PA)
> > Oxford OX1 3TG, UK Fax: +44 1865 272595
> >
>
>



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https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Thu Oct 20 07:01:40 2005

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