[R] Weighted Sum Optimization in R (Maximization)

Prof Brian Ripley ripley at stats.ox.ac.uk
Thu Nov 13 08:08:04 CET 2008

This is 'linear programming'. Try

RSiteSearch("linear programming")

The first few fits will give you a lot to explore.

On Thu, 13 Nov 2008, Yun, Myung Ho wrote:

> Dear All,
> First of all, this is the first time for me to use R for optimization, I
> tried to search r-help postings & googled on weighted sum optimization,
> I could not find anything applicable.
> I would need to optimize following function in R;
> function = w1*R1 + w2*R2 + w3*R3 + w4*R4
> Where constraints are,
> w1 + w2 + w3 + w4 = 1 and  0 <= w1, w2, w3, w4 <= 1
> Does optim in R can do this optimization? If so, could anyone show me
> how to use 'optim()' in R?
> Thank you in advance and regards,
> Myung
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Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
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