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POconstrained optimization of quadratic function
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  1. POconstrained optimization of quadratic function
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    copied!<p>I am using the <a href="http://cran.r-project.org/web/packages/alabama/alabama.pdf" rel="nofollow">alabama package</a> to optimize a non-linear constrained optimization problem.</p> <p>The problem is:</p> <pre><code> minimise: -(0.653*x[1]+ 0.234* x[1]*x[1]+ 0.437 * x[2] + 0.769 * x[3] +0.453 * x[4] + 0.744 * x[5] + 0.476 * x[5]* x[5]) </code></pre> <p>The equality constraint is:</p> <pre><code>x[1]+ x[2]+x[3]+x[4]+x[5] = 2600 </code></pre> <p>The inequality constraints are:</p> <pre><code>x[1]&gt; 900 x[1] &lt; 1100 x[2] &gt; 400 x[2] &lt; 600 x[3] &gt; 250 x[3] &lt; 350 x[4] &gt; 175 x[4] &lt; 225 x[5] &gt; 295 x[5] &lt; 305 </code></pre> <p>Here is what I am trying:</p> <pre><code>fn &lt;- function() { -(0.653*x[1]+ 0.234* x[1]*x[1]+ 0.437 * x[2] + 0.769 * x[3] + 0.453 * x[4] + 0.744 * x[5] + 0.476 * x[5]* x[5]) } heq &lt;- function(x) { x[1] + x[2] + x[3] + x[4] +x[5] - 2600 } hin &lt;- function(x) { h &lt;- rep(NA, 1) h[1] &lt;- x[1] - 900 h[2] &lt;- 1100 - x[1] h[3] &lt;- x[2] - 400 h[4] &lt;- 600 - x[2] h[5] &lt;- x[3] - 250 h[6] &lt;- 350 - x[3] h[7] &lt;- x[4] - 175 h[8] &lt;- 225 - x[4] h[9] &lt;- x[5] - 295 h[10] &lt;- 305 - x[5] h } </code></pre> <p>Here are the various problems I face with different values of par:</p> <p>Case1:</p> <pre><code>ans &lt;- auglag(par= NULL,fn=fn, gr=NULL,hin=hin, heq=heq) Error in h[1] &lt;- x[1] - 900 : replacement has length zero </code></pre> <p>Case2:</p> <pre><code>ans &lt;- auglag(par= c(1,1,1,1,1),fn=fn,hin=hin, heq=heq) Error in h[1] &lt;- x[1] + x[2] + x[3] + x[4] + x[5] - 2600 : object 'h' not found </code></pre> <p>Case3: </p> <pre><code> ans &lt;- auglag(par= c(1000,500,300,200,300),fn=fn,hin=hin, heq=heq) Error in h[1] &lt;- x[1] + x[2] + x[3] + x[4] + x[5] - 2600 : object 'h' not found </code></pre> <p>Case4:</p> <pre><code>ans &lt;- auglag(par=NULL,fn=fn, gr=NULL,hin=hin,heq=heq) Error in h[1] &lt;- x[1] - 900 : replacement has length zero </code></pre> <p>What is the correct way to apply auglag or constrOptim.nl? I tried solving it through <a href="http://svitsrv25.epfl.ch/R-doc/library/quadprog/html/solve.QP.html" rel="nofollow">solve.QP</a> but couldn't undestand what parameters to pass.</p> <p>After the edits made by @Hong Ooi, here are the new errors:</p> <pre><code>&gt; ans &lt;- auglag(par= NULL,fn=fn, gr=NULL,hin=hin, heq=heq) Error in h[1] &lt;- x[1] - 900 : replacement has length zero &gt; ans &lt;- auglag(par= c(1,1,1,1,1),fn=fn,hin=hin, heq=heq) Error in fn(par, ...) : unused argument(s) (par) &gt; ans &lt;- auglag(par= c(1000,500,300,200,300),fn=fn,hin=hin, heq=heq) Error in fn(par, ...) : unused argument(s) (par) &gt; ans &lt;- auglag(par=NULL,fn=fn, gr=NULL,hin=hin,heq=heq) Error in h[1] &lt;- x[1] - 900 : replacement has length zero </code></pre>
 

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