[R] Constrained Optimization

[Ravi Varadhan]

Hessian may not even exist in a constrained optimization problem, for
example, when the solution is on the boundary of the feasible region.  If
your solution is on the interior, you can use the hessian() function in
"numDeriv" package.

Ravi.

-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On
Behalf Of alan.ng at gmx.net
Sent: Monday, August 04, 2008 7:52 PM
To: r-help at r-project.org
Subject: [R] Constrained Optimization

Hello,

I am trying to run a constrained optimization in R. "constrOptim" is really
useful and has helped me a lot, but unfortunately, it doesn't provide the
hessian.  Is there a solution to this problem?

I've tried "optim" with penalty-functions and "L-BFGS-B", but it doesn't
help.

Alan.
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