[R] constrOptim does ineq, not eq, but who do ?
spyridoula.tsonaka at med.kuleuven.ac.be
Tue Apr 27 14:23:12 CEST 2004
Optimization of the surrogate function that is used in the constrOptim
under equality constraints can be implemented by applying the
lagrangian rule to the surrogate function (instead of using 'optim').
The iterative formula can be found in Lange, K. (1999). Numerical
analysis for statisticians. Springer-Verlag, New York. pp: 184.
I hope this helps.
----- Original Message -----
From: "Ricardo Zorzetto Nicoliello Vencio" <rvencio at ime.usp.br>
To: <r-help at stat.math.ethz.ch>
Sent: Tuesday, April 27, 2004 1:59 PM
Subject: [R] constrOptim does ineq, not eq, but who do ?
> Hi everybody,
> please, could you give me help ? I scanned the help archives and
> found hints...
> I want to solve a large sparse linear system subjected to an
> constrains (all solutions positive) and an equality constrain (all
> solutions sum to 1), thus I tried to fool constrOptim using:
> x + 0 + ... + 0 >= 0
> 0 + 0 + ... + x[n] >= 0
> x + x + ... + x[n] >= 1
> -x - x - ... - x[n] >= -1
> in minimization: min( dist(A*x - b) )
> But, since the initial guess x0 must be in the fasiable region and
> the boundaries (due to trick I only have boundary), this trick
> work out.
> If constrOptim doesn't make subject to equalities, what function
> this optimization ? any ideia ?
> I look for something similar to MATLAB's lsqlin function:
> R-help at stat.math.ethz.ch mailing list
> PLEASE do read the posting guide!
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