[Rd] constrained optimization

[Christophe Dutang]

Dear Paul,

No I haven't tried to use L-BFGS-B algorithm with bounds. Let me check if a variable change can be used on my problem.

Thanks

Christophe

Le 7 juil. 2010 à 19:49, Paul Bailey a écrit :

> 
> Have you considered using the optim function with L-BFGS-B for bounded
> optimization. Obviously, you will have to do changes of variables so that
> everything is in terms of a rectangle (which is the type of bounding that it
> accepts).
> 
> I believe it is based on "A LIMITED MEMORY ALGORITHM FOR BOUND CONSTRAINED
> OPTIMIZATION" By Richard H Byrd,  Peihuang Lu, Jorge Nocedal, and Ciyou Zhu.
> Technical Report NAM-08, May 1994.
> 
> They also have a paper on the exact implementation. I also believe that R
> uses the code from Nocedal et al.
> -- 
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> 
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--
Christophe Dutang
Ph.D. student at ISFA, Lyon, France
website: http://dutangc.free.fr