[R] Constrined dependent optimization.

[Paul Smith]

Optim with SANN also solves your example:

-------------------------------------------

f <- function(x) sum(c(1:50,50:1)*x)

swapfun <- function(x,N=100) {
 loc <- sample(N,size=2,replace=FALSE)
 tmp <- x[loc[1]]
 x[loc[1]] <- x[loc[2]]
 x[loc[2]] <- tmp
 x
}

N <- 100

opt1 <- optim(fn=f,par=sample(1:N,N),gr=swapfun,method="SANN",control=list(maxit=50000,fnscale=-1,trace=10))
opt1$par
opt1$value

-------------------------------------------

We need to specify a large number of iterations to get the optimal
solution. The objective function at the optimum is 170425, and one
gets a close value with optim and SANN.

Paul


On Mon, Mar 30, 2009 at 2:22 PM, Hans W. Borchers
<hwborchers at googlemail.com> wrote:
>
> Image you want to minimize the following linear function
>
>    f <- function(x) sum( c(1:50, 50:1) * x / (50*51) )
>
> on the set of all permutations of the numbers 1,..., 100.
>
> I wonder how will you do that with lpSolve? I would simply order
> the coefficients and then sort the numbers 1,...,100 accordingly.
>
> I am also wondering how optim with "SANN" could be applied here.
>
> As this is a problem in the area of discrete optimization resp.
> constraint programming, I propose to use an appropriate program
> here such as the free software Bprolog. I would be interested to
> learn what others propose.
>
> Of course, if we don't know anything about the function f then
> it amounts to an exhaustive search on the 100! permutations --
> probably not a feasible job.
>
> Regards,  Hans Werner
>
>
>
> Paul Smith wrote:
>>
>> On Sun, Mar 29, 2009 at 9:45 PM,  <rkevinburton at charter.net> wrote:
>>> I have an optimization question that I was hoping to get some suggestions
>>> on how best to go about sovling it. I would think there is probably a
>>> package that addresses this problem.
>>>
>>> This is an ordering optimzation problem. Best to describe it with a
>>> simple example. Say I have 100 "bins" each with a ball in it numbered
>>> from 1 to 100. Each bin can only hold one ball. This optimization is that
>>> I have a function 'f' that this array of bins and returns a number. The
>>> number returned from f(1,2,3,4....) would return a different number from
>>> that of f(2,1,3,4....). The optimization is finding the optimum order of
>>> these balls so as to produce a minimum value from 'f'.I cannot use the
>>> regular 'optim' algorithms because a) the values are discrete, and b) the
>>> values are dependent ie. when the "variable" representing the bin
>>> location is changed (in this example a new ball is put there) the
>>> existing ball will need to be moved to another bin (probably swapping
>>> positions), and c) each "variable" is constrained, in the example above
>>> the only allowable values are integers from 1-100. So the problem becomes
>>> finding the optimum order of the "balls".
>>>
>>> Any suggestions?
>>
>> If your function f is linear, then you can use lpSolve.
>>
>> Paul
>>
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>>
>
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>
> ______________________________________________
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>