### Name: constrOptim
### Title: Linearly constrained optimisation
### Aliases: constrOptim
### Keywords: optimize

### ** Examples

## from optim
fr <- function(x) {   ## Rosenbrock Banana function
    x1 <- x[1]
    x2 <- x[2]
    100 * (x2 - x1 * x1)^2 + (1 - x1)^2
}
grr <- function(x) { ## Gradient of 'fr'
    x1 <- x[1]
    x2 <- x[2]
    c(-400 * x1 * (x2 - x1 * x1) - 2 * (1 - x1),
       200 *      (x2 - x1 * x1))
}

optim(c(-1.2,1), fr, grr)
#Box-constraint, optimum on the boundary
constrOptim(c(-1.2,0.9), fr, grr, ui=rbind(c(-1,0),c(0,-1)), ci=c(-1,-1))
#  x<=0.9,  y-x>0.1
constrOptim(c(.5,0), fr, grr, ui=rbind(c(-1,0),c(1,-1)), ci=c(-0.9,0.1))

## Solves linear and quadratic programming problems
## but needs a feasible starting value
#
# from example(solve.QP) in 'quadprog'
# no derivative
fQP <- function(b) {-sum(c(0,5,0)*b)+0.5*sum(b*b)}
Amat       <- matrix(c(-4,-3,0,2,1,0,0,-2,1),3,3)
bvec       <- c(-8,2,0)
constrOptim(c(2,-1,-1), fQP, NULL, ui=t(Amat),ci=bvec)
# derivative
gQP <- function(b) {-c(0,5,0)+b}
constrOptim(c(2,-1,-1), fQP, gQP, ui=t(Amat), ci=bvec)

## Now with maximisation instead of minimisation
hQP <- function(b) {sum(c(0,5,0)*b)-0.5*sum(b*b)}
constrOptim(c(2,-1,-1), hQP, NULL, ui=t(Amat), ci=bvec,
            control=list(fnscale=-1))