[R] Optimization Problem in R

[Berend Hasselman]

On 09-02-2013, at 21:08, Axel Urbiz <axel.urbiz at gmail.com> wrote:

> Dear List,
> 
> I'm new in R. I'm trying to solve a simple constrained optimization
> problem.
> 
> Essentially, let's say I have a matrix as in the object 'mm' inside the
> function below. My objective function should have a matrix of parameters,
> one parameter for each element 'mm'  (4 in this case). The problem is to
> select the value of the parameters to maximize the function 'ff' s.t. (1)
> each parameter being either 0 or 1, and (2) the sum of each row in the
> parameter matrix should equal 1.
> 
> I'm using the function constrOptim as shown below, but obviously I'm not
> doing things right. Any help is much appreciated.
> 
> ff <- function (x) {
> 
>  mm <- matrix(c(10, 25, 5, 10), 2, 2)
>  matx <- matrix(NA, 2, 2)
> 
>  for (i in 1:nrow(x)) {
>    for (j in 1:ncol(x)) {
> 
>      matx[i, j] <- x[i, j]
>    }
> 
>  }
> 
>  -sum(apply(mm ^ matx, 1, prod))
> 
> }
> 
> constrOptim(theta = c(0, 0, 0, 0), f = ff, ui=rbind(c(1, 1),
>                                                    c(1, 1)),
>                                                    ci=c(1, 1))


1. your parameter vector has length(4)
2. the ui matrix is 2x2 so ui %*% theta can't be done

3. ui should be something like rbind(c(1,1,0,0),c(0,0,1,1))

4. you haven't specified the gradient function (grad); should be a function or NULL

5. in your function ff on entry x is a vector.  It can be simplified to

ff <- function (x) {   
    mm <- matrix(c(10, 25, 5, 10), 2, 2)    
    matx <- matrix(x,2,2)
    -sum(apply(mm ^ matx, 1, prod))
}

then

constrOptim(theta = c(1, 1, 1, 1), f = ff, grad=NULL, ui=rbind(c(1, 1,0,0),c(0,0,1, 1)),ci=c(1, 1))

gives:

$par
[1]  -63.16203  120.71655 -135.39084  139.50023

$value
[1] -1.797693e+308

$counts
function gradient 
     501       NA 

$convergence
[1] 0

$message
NULL

$outer.iterations
[1] 2


$barrier.value
[1] 0


which is probably not at all what you are looking for.

Look in the CRAN Task View for Optimization for possible options for your optimization problem.

Berend