user236215 - 1 year ago 80
R Question

# constrained optimization in R

I am trying to use http://rss.acs.unt.edu/Rdoc/library/stats/html/constrOptim.html in R to do optimization in R with some given linear constraints but not able to figure out how to set up the problem.

For example, I need to maximize $f(x,y) = log(x) + \frac{x^2}{y^2}$ subject to constraints $g_1(x,y) = x+y < 1$, $g_2(x,y) = x > 0$ and $g_3(x,y) = y > 0$. How do I do this in R? This is just a hypothetical example. Do not worry about its structure, instead I am interested to know how to set this up in R.

thanks!

Setting up the function was trivial:

fr <- function(x) {      x1 <- x[1]
x2 <- x[2]
-(log(x1) + x1^2/x2^2)  # need negative since constrOptim is a minimization routine
}


Setting up the constraint matrix was problematic due to a lack of much documentation, and I resorted to experimentation. The help page says "The feasible region is defined by ui %*% theta - ci >= 0". So I tested and this seemed to "work":

> rbind(c(-1,-1),c(1,0), c(0,1) ) %*% c(0.99,0.001) -c(-1,0, 0)
[,1]
[1,] 0.009
[2,] 0.990
[3,] 0.001


So I put in a row for each constraint/boundary:

constrOptim(c(0.99,0.001), fr, NULL, ui=rbind(c(-1,-1),  # the -x-y > -1
c(1,0),    # the x > 0
c(0,1) ),  # the y > 0
ci=c(-1,0, 0)) # the thresholds


For this problem there is a potential difficulty in that for all values of x the function goes to Inf as y -> 0. I do get a max around x=.95 and y=0 even when I push the starting values out to the "corner", but I'm somewhat suspicious that this is not the true maximum which I would have guessed was in the "corner". EDIT: Pursuing this I reasoned that the gradient might provide additional "direction" and added a gradient function:

grr <- function(x) { ## Gradient of 'fr'
x1 <- x[1]
x2 <- x[2]
c(-(1/x[1] + 2 * x[1]/x[2]^2),
2 * x[1]^2 /x[2]^3 )
}


This did "steer" the optimization a bit closer to the c(.999..., 0) corner, instead of moving away from it, as it did for some starting values. I remain somewhat disappointed that the process seems to "head for the cliff" when the starting values are close to the center of the feasible region:

 constrOptim(c(0.99,0.001), fr, grr, ui=rbind(c(-1,-1),  # the -x-y > -1
c(1,0),    # the x > 0
c(0,1) ),  # the y > 0
ci=c(-1,0, 0) )
$par [1] 9.900007e-01 -3.542673e-16$value
[1] -7.80924e+30

$counts function gradient 2001 37$convergence
[1] 11

$message [1] "Objective function increased at outer iteration 2"$outer.iterations
[1] 2

$barrier.value [1] NaN  Note: Hans Werner Borchers posted a better example on R-Help that succeeded in getting the corner values by setting the constraint slightly away from the edge: > constrOptim(c(0.25,0.25), fr, NULL, ui=rbind( c(-1,-1), c(1,0), c(0,1) ), ci=c(-1, 0.0001, 0.0001))$par
[1] 0.9999 0.0001

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