constrOptim - error: initial value not feasible

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constrOptim - error: initial value not feasible

Herb
Hello at all,

working with a dataset I try to optimize a non-linear function with constraint.

test<-read.csv2("C:/Users/Herb/Desktop/Opti/NORM.csv")

fkt<- function(x){
a<-c(0)
s<-c(0)
#Minimizing square error
for(j in 1:107){
s<-(test[j,2] - (x[1] * test[j,3]) - (x[2] * test[j,4]) - (x[3]*test[j,5]) - (x[4]*test[j,6]) - (x[5]*test[j,7]))^2
a<- a+s}
a<-as.double(a)
return(a)}

constrOptim(c(0,0,0.5,0,0.5), fkt, NULL, ui=rbind(c(1,1,1,1,1)), ci=c(1)


It works perfekt in the previews way, adding a second constraint, to simulize the equal to 1 constraint, it doesn't work anymore:

constrOptim(c(0,0,0.5,0,0.5), fkt, NULL, ui=rbind(c(1,1,1,1,1),c(-1,-1,-1,-1,-1)), ci=c(1,-1))

the error message: initial value not feasible

Thats the structure of the data file:

test
          Date CPURNSA_2  SPTR_2 JNGWUS_2    CORP  FNAR_2   CRY_2
1   28.02.2001    0.0040 -0.0912  -0.0043 -0.0104  0.0098 -0.0181
2   31.03.2001    0.0023 -0.0634   0.0088 -0.0519  0.0078  0.0013
3   30.04.2001    0.0040  0.0777   0.0202  0.0202 -0.0052  0.0213
4   31.05.2001    0.0045  0.0067  -0.0358 -0.0256  0.0102  0.0194
5   30.06.2001    0.0017 -0.0243   0.0032 -0.0165  0.0045  0.0508
6   31.07.2001   -0.0028 -0.0098   0.0072 -0.0139  0.0280 -0.0234
7   31.08.2001    0.0000 -0.0626  -0.0270 -0.0151  0.0108  0.0275
8   30.09.2001    0.0045 -0.0808  -0.0283 -0.0458  0.0028 -0.0476
9   31.10.2001   -0.0034  0.0191  -0.0034 -0.0254  0.0220 -0.0320
        .
        .
        .
107 31.12.2009   -0.0018  0.0193   0.0040  0.0216 -0.0100  0.0561



May be anyone can see the problem or has an idea?


Thanks in advance!
Herb
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Re: constrOptim - error: initial value not feasible

Thomas Lumley


You can't  use two inequality constraints to simulate an equality constraint in constrOptim().

       -thomas


On Wed, 17 Mar 2010, Herb wrote:

>
> Hello at all,
>
> working with a dataset I try to optimize a non-linear function with
> constraint.
>
> test<-read.csv2("C:/Users/Herb/Desktop/Opti/NORM.csv")
>
> fkt<- function(x){
> a<-c(0)
> s<-c(0)
> #Minimizing square error
> for(j in 1:107){
> s<-(test[j,2] - (x[1] * test[j,3]) - (x[2] * test[j,4]) - (x[3]*test[j,5]) -
> (x[4]*test[j,6]) - (x[5]*test[j,7]))^2
> a<- a+s}
> a<-as.double(a)
> return(a)}
>
> constrOptim(c(0,0,0.5,0,0.5), fkt, NULL, ui=rbind(c(1,1,1,1,1)), ci=c(1)
>
> It works perfekt in the previews way, adding a second constraint, to
> simulize the equal to 1 constraint, it doesn't work anymore:
>
> constrOptim(c(0,0,0.5,0,0.5), fkt, NULL,
> ui=rbind(c(1,1,1,1,1),c(-1,-1,-1,-1,-1)), ci=c(1,-1))
>
> the error message: initial value not feasible
>
> Thats the structure of the data file:
>
> test
>          Date CPURNSA_2  SPTR_2 JNGWUS_2    CORP  FNAR_2   CRY_2
> 1   28.02.2001    0.0040 -0.0912  -0.0043 -0.0104  0.0098 -0.0181
> 2   31.03.2001    0.0023 -0.0634   0.0088 -0.0519  0.0078  0.0013
> 3   30.04.2001    0.0040  0.0777   0.0202  0.0202 -0.0052  0.0213
> 4   31.05.2001    0.0045  0.0067  -0.0358 -0.0256  0.0102  0.0194
> 5   30.06.2001    0.0017 -0.0243   0.0032 -0.0165  0.0045  0.0508
> 6   31.07.2001   -0.0028 -0.0098   0.0072 -0.0139  0.0280 -0.0234
> 7   31.08.2001    0.0000 -0.0626  -0.0270 -0.0151  0.0108  0.0275
> 8   30.09.2001    0.0045 -0.0808  -0.0283 -0.0458  0.0028 -0.0476
> 9   31.10.2001   -0.0034  0.0191  -0.0034 -0.0254  0.0220 -0.0320
> .
> .
> .
> 107 31.12.2009   -0.0018  0.0193   0.0040  0.0216 -0.0100  0.0561
>
>
>
> May be anyone can see the problem or has an idea?
>
>
> Thanks in advance!
> Herb
> --
> View this message in context: http://n4.nabble.com/constrOptim-error-initial-value-not-feasible-tp1596640p1596640.html
> Sent from the R help mailing list archive at Nabble.com.
>
> ______________________________________________
> [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
> and provide commented, minimal, self-contained, reproducible code.
>

Thomas Lumley Assoc. Professor, Biostatistics
[hidden email] University of Washington, Seattle

______________________________________________
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PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.