[R] constrained optimization in R

[Thomas Lumley]

On Tue, 21 Sep 2004 Jason.L.Higbee at stls.frb.org wrote:

> R:
>
> I need to minimize a function such that the parameters when used in
> another function result in a particular value, which i fix.  That is, I
> need min(f(a,b)) given g(a,b)=X, where min(.) is the minimum, f(.) and
> g(.) are functions (with unknown gradients) of parameters a and b and X is
> a fixed value.  What optimization function(s) in R do you suggest?
> constrOptim looks like it will work except I don't know the gradient of
> the functions.

constrOptim won't work -- it does INequality constraints.

 	-thomas


> Thanks,
>
> Jason Higbee
>
> 	[[alternative HTML version deleted]]
>
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Thomas Lumley			Assoc. Professor, Biostatistics
tlumley at u.washington.edu	University of Washington, Seattle