[R] Optimization

Berend Hasselman bhh at xs4all.nl
Mon May 24 16:01:29 CEST 2010

Berend Hasselman wrote:
> Bogaso wrote:
>> Hi all, I need to minimize following function :
>> dat <- matrix(rnorm(20000), ncol=2)
>>       targetFn <- function(x) {
>>             dat <- as.matrix(dat)
>>             dat1 <- 1*dat[,1] - (x^2)*dat[,2]
>>             return(sd(dat1)) }
>> i.e. I want ro find for which "x" the value of "targetFn" will be
>> minimum,
>> depending on current dataset "dat". Is there any optimization routine
>> available for this type of optimization?
> ...
> And some mathematics will show that in your particular case x=0 is the
> optimal value.


x=0 is one of the optimal values.
Whether the other alternative for x is feasible, depends on the sign of the
crossproduct of dat[,1] and dat[,2]. If the rnorm() behaves as is to be
expected that crossproduct will be close to zero.

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