[R] Nonlinear Optimization

Thomas Lumley tlumley at u.washington.edu
Tue Feb 24 18:00:28 CET 2004

On Tue, 24 Feb 2004, Kissell, Robert [EQRE] wrote:

> Hi,
> I have been brought back to the "R-Side" from MatLab. I have used R in
> graduate econometrics but only for statistics and regression (linear and
> nonlinear). But now I need to run general nonlinear optimization.
> I know about the add-in quadprog but my problem is not QP. My problem is a
> general nonlinear (obj funct) with linear constraints.I know about the "ms"
> and "nls" functions, but these seem only for nonlinear regression, not
> nonlinear minimization. I am looking for a pure non-linear optimization
> module.
> The nonlinear optimization functions I used in MatLab are "fmincon" and
> "fminunc"
> Is there any nonlinear optimization algorithm for R?

There are three:

nlm(), using a Newton-type algorithm, unconstrained
optim(), with a palette of algorithms including the box-constrained
constrOptim(), using an adaptive log-barrier for linear constraints, with
	optim() used for the actual optimisation.

and probably more in add-on packages.


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