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Is there an equivalent to the MATLAB function fmincon() which finds the minimum of a constrained non-linear function (with linear equality AND inequality constraints) in R?
I can rule out constrOptim (doesn't support equality constraints) and quadprog (only quadratic functions) which are listed on the R Optimization task page.
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fmincon has 4 algorithm options: 'interior-point', 'trust-region-reflective', 'sqp', 'active-set'.
fmincon is a Nonlinear Programming solver provided in MATLAB's Optimization Toolbox. fmincon performs nonlinear constrained optimization and supports linear and nonlinear constraints.
Problem Formulation: Rosenbrock's Function This problem is a minimization of a nonlinear function subject to a nonlinear constraint. Rosenbrock's function is a standard test function in optimization.
The sqp algorithm combines the objective and constraint functions into a merit function. The algorithm attempts to minimize the merit function subject to relaxed constraints. This modified problem can lead to a feasible solution.
The package nloptr is an R interface to NLopt, a library for nonlinear optimization with algorithms for unconstrained optimization, bound-constrained optimization, and general nonlinear inequality/equality constraints.
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