Re: Minimization with constraint expresses as CDF[] >=

*To*: mathgroup at smc.vnet.net*Subject*: [mg72490] Re: [mg72474] Minimization with constraint expresses as CDF[] >=*From*: "Chris Chiasson" <chris at chiasson.name>*Date*: Mon, 1 Jan 2007 04:15:10 -0500 (EST)*References*: <200612311007.FAA06784@smc.vnet.net>

The encoding in your message is not showing up correctly on my screen. Would you mind using only the ASCII character set? I ask because I am interested in your problem. On 12/31/06, Pratim Vakish <pratim_usc at hotmail.com> wrote: > > Hello, > > I have the following optimization problem: a minimization subject to a few linear constraints and one chance constarint formulated using CDF[] > > Needs["Statistics`MultinormalDistribution`"]; > r={{0.01,-0.016},{-0.016,0.018}}; > ndist=MultinormalDistribution[{1,3},r]; > NMinimize[{2x1+x2, > x1?0.8, > x2?2.5, > x1?0, > x2?0, > x1+x2==y, > CDF[ndist,{x1,y}]?0.9, > PrecisionGoal -> 3}, > {x1,x2,y}] > > > I keep getting the following error message. I do not understand why. Any advice is welcome. > > NMinimize::"bcons": > "The following constraints are not valid: y == x1 + x2, x1 ? 0, x2 ? 0, CDF[(MultinormalDistribution[({1, 3},({0.01,-0.016},{-0.016, 0.018}, {x1, y}] ? 0.9, > x1 ? 0.8, x2 ? 2.5}. > Constraints should be equalities, inequalities, or domain specifications involving the variables. > > > > ---------------------------------------- > > Date: Sat, 25 Nov 2006 09:53:24 -0500 > > From: hanlonr at cox.net > > To: pratim_usc at hotmail.com; mathgroup at smc.vnet.net > > Subject: Re: [mg71632] Numerical vaule of multinormal distribution > > > > Needs["Statistics`MultinormalDistribution`"]; > > r = {{0.8, 0.1}, {0.1, 0.2}}; > > ndist = MultinormalDistribution[{1, 0.4}, r]; > > CDF[ndist, {-1, 1}] > > > > 0.0124156 > > > > I would guess that you tried to use to use CDF or MultinormalDistribution before loading the package. Evaluate after starting with a fresh kernel. > > > > > > Bob Hanlon > > > > ---- Pratim Vakish <pratim_usc at hotmail.com> wrote: > > > > > > I have a basic question. > > > I want toobtain the numerical value of the cumulative normal probability distribution function at some points. > > > I have the following code to do this : > > > > > > Off[General::spell1]; > > > Needs["Statistics`MultinormalDistribution`"]; > > > r = {{0.8, 0.1}, {0.1, 0.2}}; > > > ndist = MultinormalDistribution[{1, 0.4}, r]; > > > CDF[ndist, {-1, 1}] > > > > > > > > > The output I obtain is: > > > > > > CDF[MultinormalDistribution[{1, 0.4}, {{0.8, 0.1}, {0.1, 0.2}}], {-1, 1}] > > > > > > I would like to have the numerical value of this expression. > > > How could I do? > > > > > > > > > Pratim > > > > _________________________________________________________________ > Get the Live.com Holiday Page for recipes, gift-giving ideas, and more. > www.live.com/?addtemplate=holiday > > -- http://chris.chiasson.name/