[R] constrained optimization using nlm/optim?

[Patrick Burns]

You want the penalty for the constraint to depend on how
much the constraint is broken -- unlike your sample code.
Page 336 of S Poetry has an example.

Patrick Burns

Burns Statistics
patrick at burns-stat.com
+44 (0)20 8525 0696
http://www.burns-stat.com
(home of S Poetry and "A Guide for the Unwilling S User")

Jeff D. Hamann wrote:

>I'm looking for an example of a simple R script that impliments a
>contrained nonlinear function using nlm or optim. I'm not exactly sure how
>to impliment the constraints within the objective function that is passed
>to nlm/optim.
>
>obj.func <- function( p ) {
>
>   x(p) <- unconstrained obj function value
>
>   if( constraint1 > something ) {
>      obj.func <- x(p)
>   } else {
>      obj.func <- some super huge number
>  }
>
>}
>
>p <- c(0.1,2.4, 5)
>
>nlm( obj.func, p, and a bunch of other arguments )
>
>Any suggestions would be very helpful...
>
>Jeff.
>
>
>
>  
>