[R] Constrained Nelder-Mead

[Adrian Trapletti]

>
>
>All,
>
>In looking at `optim', it doesn't appear that it is
>possible to impose nonlinear constraints on Nelder-
>Mead.  I am sufficiently motivated to try to code 
>something in C from scratch and try to call it from
>R....
>
>Does anyone have some good references to barrier
>and/or penalization methods for Nelder-Mead?  I would
>ideally like some papers with pseudocode for method(s)
>that are in some sense optimal for continuous 
>functions.
>
>Thanks,
>   
>     Greg
>
http://plato.la.asu.edu/topics/problems/nlores.html

and look for COBYLA (Fortran 77, 90 and C code is available)

best
Adrian