parameter-restrictions in OPTIM

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parameter-restrictions in OPTIM

Florian Staab
Hallo, I'm trying to optimize a function A which calls another function B
internally.

This function A has got two input parameters, say a1 and a2.

Using OPTIM there ist no problem restricting these parameters:

0 <= a1 <= 1 and 0 <= a2 <= 1.

My problem is an additional restriction

0 <= a1+a2 <= 1.

I'd be grateful if you could show me an easy way to find a solution using
OPTIM?

If not, which other function is applicable?

 

Thanks for your help,

Florian Staab

 

 

 

  _____  

Dipl.-Kfm. Florian Staab
Universität Osnabrück
Fachbereich Wirtschaftswissenschaften
Statistik / Empirische Wirtschaftsforschung

Rolandstr. 8 (Raum 208)
D-49069 Osnabrück
Tel: 0541-969-2756
Fax: 0541-969-12756
Email: [hidden email]
Homepage: http://nts4.oec.uni-osnabrueck.de/stat1/stat1.htm 

  _____  

 


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Re: parameter-restrictions in OPTIM

Ingmar Visser
You could reparametrize or use constrOptim,
Hth, Ingmar


> From: Florian Staab <[hidden email]>
> Date: Mon, 29 May 2006 12:08:59 +0200
> To: <[hidden email]>
> Subject: [R] parameter-restrictions in OPTIM
>
> Hallo, I'm trying to optimize a function A which calls another function B
> internally.
>
> This function A has got two input parameters, say a1 and a2.
>
> Using OPTIM there ist no problem restricting these parameters:
>
> 0 <= a1 <= 1 and 0 <= a2 <= 1.
>
> My problem is an additional restriction
>
> 0 <= a1+a2 <= 1.
>
> I'd be grateful if you could show me an easy way to find a solution using
> OPTIM?
>
> If not, which other function is applicable?
>
>  
>
> Thanks for your help,
>
> Florian Staab
>
>  
>
>  
>
>  
>
>   _____  
>
> Dipl.-Kfm. Florian Staab
> Universität Osnabrück
> Fachbereich Wirtschaftswissenschaften
> Statistik / Empirische Wirtschaftsforschung
>
> Rolandstr. 8 (Raum 208)
> D-49069 Osnabrück
> Tel: 0541-969-2756
> Fax: 0541-969-12756
> Email: [hidden email]
> Homepage: http://nts4.oec.uni-osnabrueck.de/stat1/stat1.htm
>
>   _____  
>
>  
>
>
> [[alternative HTML version deleted]]
>
> ______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html

______________________________________________
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Re: parameter-restrictions in OPTIM

Patrick Burns
In reply to this post by Florian Staab
One trick is to add a penalty to your function for
violations of the linear constraint.  However, if the
constraint is binding, then gradient methods may
not perform well since the objective won't be
differentiable there.  If the constraint looks to be
binding, then you can reparameterize to a single
parameter.


Patrick Burns
[hidden email]
+44 (0)20 8525 0696
http://www.burns-stat.com
(home of S Poetry and "A Guide for the Unwilling S User")

Florian Staab wrote:

>Hallo, I'm trying to optimize a function A which calls another function B
>internally.
>
>This function A has got two input parameters, say a1 and a2.
>
>Using OPTIM there ist no problem restricting these parameters:
>
>0 <= a1 <= 1 and 0 <= a2 <= 1.
>
>My problem is an additional restriction
>
>0 <= a1+a2 <= 1.
>
>I'd be grateful if you could show me an easy way to find a solution using
>OPTIM?
>
>If not, which other function is applicable?
>
>
>
>Thanks for your help,
>
>Florian Staab
>
>
>
>
>
>
>
>  _____  
>
>Dipl.-Kfm. Florian Staab
>Universität Osnabrück
>Fachbereich Wirtschaftswissenschaften
>Statistik / Empirische Wirtschaftsforschung
>
>Rolandstr. 8 (Raum 208)
>D-49069 Osnabrück
>Tel: 0541-969-2756
>Fax: 0541-969-12756
>Email: [hidden email]
>Homepage: http://nts4.oec.uni-osnabrueck.de/stat1/stat1.htm 
>
>  _____  
>
>
>
>
> [[alternative HTML version deleted]]
>
>  
>
>------------------------------------------------------------------------
>
>______________________________________________
>[hidden email] mailing list
>https://stat.ethz.ch/mailman/listinfo/r-help
>PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
>

______________________________________________
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