[R] Optimization with linear constraints

[Prof Brian Ripley]

On Mon, 22 Jan 2001, [iso-8859-1] Julio Gómez wrote:

> Hello
>
> I'd like to know if there's a way to minimize a non linear function in R
> subject to some linear restrictions Ax=b
> I have tried to use optim() but it doesn't seem to be able to do it.

Just use Ax = b to reduce the dimension of x.  It's not something you
should expect software to do for you.

> Or, by Lagrange multipliers, solve some non linear equations simultaneously.

Don't turn an optimization problem into a root-finding problem: it is
inefficient.

-- 
Brian D. Ripley,                  ripley at 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 272860 (secr)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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