[R] constraint optimization: solving large scale general nonlinear problems

[Ravi Varadhan]

Hi,

Looking at your problem, it seems like you can simply transform it to an unconstrained problem:

Maximize h(x1, x2, ..., xn)

where h(x1, x2, ..., xn) = f(g1(x), g2(x), ..., gn(x)).

Am I missing something or haven't you provided all the information?

Ravi.

____________________________________________________________________

Ravi Varadhan, Ph.D.
Assistant Professor,
Division of Geriatric Medicine and Gerontology
School of Medicine
Johns Hopkins University

Ph. (410) 502-2619
email: rvaradhan at jhmi.edu


----- Original Message -----
From: Ravi Varadhan <rvaradhan at jhmi.edu>
Date: Friday, March 27, 2009 2:42 pm
Subject: Re: [R] constraint optimization: solving large scale general nonlinear problems
To: Florin Maican <florin.maican at handels.gu.se>
Cc: r-help <r-help at r-project.org>


> Can you tell us more about your obj function, f, and the equality 
> constraints g_k?  
>  
>  Do you really have as many equality constraints as the number of 
> variables?  Are these all non-linear?  Can't you find the roots of 
> this system of equations?  If yes, you could find all the roots (with 
> multiple starts or some other search technique) and choose the one 
> that maximizes f(x).
>  
>  Ravi.
>  ____________________________________________________________________
>  
>  Ravi Varadhan, Ph.D.
>  Assistant Professor,
>  Division of Geriatric Medicine and Gerontology
>  School of Medicine
>  Johns Hopkins University
>  
>  Ph. (410) 502-2619
>  email: rvaradhan at jhmi.edu
>  
>  
>  ----- Original Message -----
>  From: Florin Maican <florin.maican at handels.gu.se>
>  Date: Friday, March 27, 2009 2:01 pm
>  Subject: [R] constraint optimization: solving large scale general 
> nonlinear problems
>  To: r-help <r-help at r-project.org>
>  
>  
>  > Hi
>  >  
>  >  I need advice regarding constraint optimization with large number 
> of
>  >  variables. 
>  >  
>  >  I need to solve the following problem
>  >  
>  >     max      f(x1,...,xn)
>  >    x1,..xn
>  >    
>  >      x1=g1(x1,...,xn)
>  >      .
>  >      .
>  >      xn=gn(x1,...,xn) 
>  >  
>  >  I am using Rdonlp2  package which works well until 40 variables in 
> my
>  >  case. I need to solve this problem with over 300 variables. In 
> this case
>  >  Rdonlp2 is very  very slowly. I know that in Matlab exists  Knitro
>  >  ( for large optimization problems.
>  >  
>  >  It will be great if you can suggest me some alternatives solutions.
>  >  
>  >  
>  >  Thanks in advance,
>  >  Florin
>  >  
>  >  
>  >  
>  >  -- 
>  >           Florin G. Maican            
>  >  ==================================
>  >  
>  >  Ph.D. candidate,                    
>  >  Department of Economics,
>  >  School of Business, Economics and Law,             
>  >  Gothenburg University, Sweden       
>  >  -----------------------------------
>  >      P.O. Box 640 SE-405 30,         
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>  >  
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>  >  ------------------------------------
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>  
>  ______________________________________________
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>  
>  PLEASE do read the posting guide 
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