[R] Help on optim

Ingmar Visser I.Visser at uva.nl
Wed Sep 21 10:50:31 CEST 2005

Hi Manoj,
AFAIK there is no way in R to optimize functions under general linear
equality constraints (for inequality constraints there is constrOptim). In
your case you could reparametrize such that you estimate weights w(1) ...
w(n-1) and simply compute w(n) from those.
Even so, it would be great to have a routine that does optimization under
general linear constraints. Maybe someone out there could port the OPT++
library to R ... OPT++ is an open source optimization library that does
general linear and non-linear and bound-constraint optimization.
hth, ingmar

> From: Manoj <manojsw at gmail.com>
> Reply-To: manojsw at gmail.com
> Date: Wed, 21 Sep 2005 17:33:29 +0900
> To: r-help at stat.math.ethz.ch
> Subject: [R] Help on optim
> Dear R-help,
>      I am new to optim function and need some help with optimization.
>      Problem description: I am trying to optimize a weights vector
> such that it produce maximum value for a function maxVal. The
> optimization is subjected to constraint. The constraints are a) Min
> weight should be greater than or equal to Zero. b) Max weight should
> be less than or equal to 1 c) Sum of the weights should be equal to 1.
> Now after googling around a bit & trying my hands at RSiteSearch , I
> found that I can use optim with L-BFGS-B method and could possible use
> lower bound and upper bound for constraint, however I am clueless as
> to how I can impose the sum(wgts) = 1 condition. In excel solver, this
> problem is extremely simple since it's just a matter of setting an
> additional constraint of setting the summation cell to 1.
> Your kind help is greatly appreciated.
> Best Regards
> Manoj
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