[R] fmincon equivalent in R

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[R] fmincon equivalent in R

Arun.stat
Dear all R users,

I am wondering if there are any function for Constraint optimization in R.
Especially i am looking for a R - equivalent of "fmincon" function in
MATLAB.

Thanks and regards,
Arun

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Re: [R] fmincon equivalent in R

Ben Bolker-2
Arun Kumar Saha <arun.kumar.saha <at> gmail.com> writes:

>
> Dear all R users,
>
> I am wondering if there are any function for Constraint optimization in R.
> Especially i am looking for a R - equivalent of "fmincon" function in
> MATLAB.
>
> Thanks and regards,
> Arun
>

  Unfortunately, the built-in functions in R only handle "box constraints"
(independent inequality constraints on each parameter), via method "L-BFGS-B"
in optim() or via nlminb(), or linear inequality constraints
via constrOptim().  
   You might try doing an RSiteSearch() for "Lagrange multiplier" -- that
will provide potential solutions to your problem, but you'll very much
have to roll your own.

  (If any R-helpers out there would like to correct me or provide pointers
to examples of Lagrange multiplier implementations in R, that would be
great ...)

   Ben Bolker

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