R建立约束中的约束优化 [英] constrained optimization in R setting up constraints
问题描述
我一直在尝试使用constrOptim()解决R中的约束优化问题(这是我的第一次),但正努力为我的问题设置约束.
I have been trying to solve a constrained optimization problem in R using constrOptim() (my first time) but am struggling to set up the constraints for my problem.
问题很简单,我可以将函数设置为ok,但是在传递约束时有点不知所措.
The problem is pretty straight forward and i can set up the function ok but am a bit at a loss about passing the constraints in.
例如我定义的问题是(我将以固定为1000的N开始,所以我最终只想求解X,我想同时选择N和X来获得最大利润):
e.g. problem i've defined is (am going to start with N fixed at 1000 say so i just want to solve for X ultimately i'd like to choose both N and X that max profit):
所以我可以将功能设置为:
so i can set up the function as:
fun <- function(x, N, a, c, s) { ## a profit function
x1 <- x[1]
x2 <- x[2]
x3 <- x[3]
a1 <- a[1]
a2 <- a[2]
a3 <- a[3]
c1 <- c[1]
c2 <- c[2]
c3 <- c[3]
s1 <- s[1]
s2 <- s[2]
s3 <- s[3]
((N*x1*a1*s1)-(N*x1*c1))+((N*x2*a2*s2)-(N*x2*c2))+((N*x3*a3*s3)-(N*x3*c3))
}
我需要实现的约束条件是:
The constraints i need to implement are that:
x1>=0.03
x1<=0.7
x2>=0.03
x2<=0.7
x3>=0.03
x2<=0.7
x1+x2+x3=1
这里的X代表我需要在其中最佳分配N的存储桶,因此x1 =要放置在存储桶1等中的N的百分比,每个存储桶中至少有3%但不超过70%.
The X here represents buckets into which i need to optimally allocate N, so x1=pecent of N to place in bucket 1 etc. with each bucket having at least 3% but no more than 70%.
任何帮助都很感激...
Any help much appreciated...
例如这是一个我用来测试该功能是否满足我想要的示例:
e.g. here is an example i used to test the function does what i want:
fun <- function(x, N, a, c, s) { ## profit function
x1 <- x[1]
x2 <- x[2]
x3 <- x[3]
a1 <- a[1]
a2 <- a[2]
a3 <- a[3]
c1 <- c[1]
c2 <- c[2]
c3 <- c[3]
s1 <- s[1]
s2 <- s[2]
s3 <- s[3]
((N*x1*a1*s1)-(N*x1*c1))+((N*x2*a2*s2)-(N*x2*c2))+((N*x3*a3*s3)-(N*x3*c3))
};
x <-matrix(c(0.5,0.25,0.25));
a <-matrix(c(0.2,0.15,0.1));
s <-matrix(c(100,75,50));
c <-matrix(c(10,8,7));
N <- 1000;
fun(x,N,a,c,s);
推荐答案
您可以使用lpSolveAPI程序包.
You can use The lpSolveAPI package.
## problem constants
a <- c(0.2, 0.15, 0.1)
s <- c(100, 75, 50)
c <- c(10, 8, 7)
N <- 1000
## Problem formulation
# x1 >= 0.03
# x1 <= 0.7
# x2 >= 0.03
# x2 <= 0.7
# x3 >= 0.03
# x1 +x2 + x3 = 1
#N*(c1- a1*s1)* x1 + (a2*s2 - c2)* x2 + (a3*s3- c3)* x3
library(lpSolveAPI)
my.lp <- make.lp(6, 3)
在lpsolve中构建模型的最佳方法是按列;
The best way to build a model in lp solve is columnwise;
#constraints by columns
set.column(my.lp, 1, c(1, 1, 0, 0, 1, 1))
set.column(my.lp, 2, c(0, 0, 1, 1, 0, 1))
set.column(my.lp, 3, c(0, 0, 0, 0, 1, 1))
#the objective function ,since we need to max I set negtive max(f) = -min(f)
set.objfn (my.lp, -N*c(c[1]- a[1]*s[1], a[2]*s[2] - c[2],a[3]*s[3]- c[3]))
set.rhs(my.lp, c(rep(c(0.03,0.7),2),0.03,1))
#constraint types
set.constr.type(my.lp, c(rep(c(">=","<="), 2),">=","="))
看看我的模型
my.lp
Model name:
Model name:
C1 C2 C3
Minimize 10000 -3250 2000
R1 1 0 0 >= 0.03
R2 1 0 0 <= 0.7
R3 0 1 0 >= 0.03
R4 0 1 0 <= 0.7
R5 1 0 1 >= 0.03
R6 1 1 1 = 1
Kind Std Std Std
Type Real Real Real
Upper Inf Inf Inf
Lower 0 0 0
solve(my.lp)
[1] 0 ## sucess :)
get.objective(my.lp)
[1] -1435
get.constraints(my.lp)
[1] 0.70 0.70 0.03 0.03 0.97 1.00
## the decisions variables
get.variables(my.lp)
[1] 0.03 0.70 0.27
这篇关于R建立约束中的约束优化的文章就介绍到这了,希望我们推荐的答案对大家有所帮助,也希望大家多多支持IT屋!