
Hey,
I was wondering if anyone could help me with an issue I an experiencing while attempting to optimize a function with regards to multiple parameters, while setting their bounds to be dependent on one another.
Here is a basic example: say that I want to optimize the below function named "test', with regards to vector v, with the following constraint: 0<=v[1]<=v[2]<=1:
test <function(v=c(0,1)) {return(v[2]v[1])}
Now, calling optim() with the following settings:
a=0
b=1
res = optim(c(a,b), test, lower=c(0,a), upper=c(b,1),method="LBFGSB")
Yields optimized values:
a=1
b=0
test(c(a,b))=1
It appears that the constraint was not satisfied, but the bounds still had some affect on the result. This makes me suspect that I didn't set the lower and upper bounds correctly when calling optim().
Could you please let me know what I did wrong?
Many thanks!
Keren
