[R] Optimization inconsistencies

[peter dalgaard]

On May 18, 2012, at 00:14 , Nathan Stephens wrote:

> I have a very simple maximization problem where I'm solving for the vector
> x:
> 
> objective function:
> w'x = value to maximize
> 
> box constraints (for all elements of w):
> low < x < high
> 
> equality constraint:
> sum(x) = 1
> 
> But I get inconsistent results depending on what starting values I. I've
> tried various packages but none seem to bee the very solver in Excel. Any
> recommendations on what packages or functions I should try?

Sounds like a linear programming problem, so perhaps one of the packages that are specialized for that? lpSolve looks like it should do it.

(As a general matter: There's nothing simple about constrained maximization problems, and generic optimizers aren't really geared towards dealing with large sets of constraints.)

> 
> --Nathan
> 
> 	[[alternative HTML version deleted]]
> 
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-- 
Peter Dalgaard, Professor,
Center for Statistics, Copenhagen Business School
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