[R] constraint optimization: solving large scale general nonlinear problems

[Ravi Varadhan]

Can you tell us more about your obj function, f, and the equality constraints g_k?  

Do you really have as many equality constraints as the number of variables?  Are these all non-linear?  Can't you find the roots of this system of equations?  If yes, you could find all the roots (with multiple starts or some other search technique) and choose the one that maximizes f(x).

Ravi.
____________________________________________________________________

Ravi Varadhan, Ph.D.
Assistant Professor,
Division of Geriatric Medicine and Gerontology
School of Medicine
Johns Hopkins University

Ph. (410) 502-2619
email: rvaradhan at jhmi.edu


----- Original Message -----
From: Florin Maican <florin.maican at handels.gu.se>
Date: Friday, March 27, 2009 2:01 pm
Subject: [R] constraint optimization: solving large scale general nonlinear problems
To: r-help <r-help at r-project.org>


> Hi
>  
>  I need advice regarding constraint optimization with large number of
>  variables. 
>  
>  I need to solve the following problem
>  
>     max      f(x1,...,xn)
>    x1,..xn
>    
>      x1=g1(x1,...,xn)
>      .
>      .
>      xn=gn(x1,...,xn) 
>  
>  I am using Rdonlp2  package which works well until 40 variables in my
>  case. I need to solve this problem with over 300 variables. In this case
>  Rdonlp2 is very  very slowly. I know that in Matlab exists  Knitro
>  ( for large optimization problems.
>  
>  It will be great if you can suggest me some alternatives solutions.
>  
>  
>  Thanks in advance,
>  Florin
>  
>  
>  
>  -- 
>           Florin G. Maican            
>  ==================================
>  
>  Ph.D. candidate,                    
>  Department of Economics,
>  School of Business, Economics and Law,             
>  Gothenburg University, Sweden       
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