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Re: Constraint optimization
From: |
Michael Creel |
Subject: |
Re: Constraint optimization |
Date: |
Wed, 08 Jun 2005 09:56:30 +0200 |
User-agent: |
KMail/1.8 |
On Wednesday 08 June 2005 07:31, Herrie van Rooy wrote:
> Hi
>
> I am looking for an algorithm that does constraint optimization. For
> the time being I only require bounds and linear constraints, but it must
> be able to work with optimization for multivariate problems (e.g.
> fmincon).
>
> Kind regards
>
> Herrie van Rooy
> Department of Mathematics and Statistics
> University of Johannesburg
Hello, there has been mention of a nlp solver recently on this list, which
should probably do the job. A more cheesy solution would be to use the samin
function in octave-forge. This will let you impose bounds. For linear
constraints, you could write constraints
A*x = b
as
A_1*x_1 + A_2*x_2 = b
where A_1 is square and invertible (might require shifting the elements of x
around to get nonsingularity). Then x_1 = inv(A_1)*(b - A_x*x_2), and your
objective function f(x) could be rewritten as f(x_2), where the x_1 part is
computed inside the function. Not very elegant, but it should work.
M.
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