optimization code for a project
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hello
I have a project on optimization. The objective function isn't complicated, but there are 6 design variables. I can't use the optimization toolbox because the professor asked us to write the code ourselves! which optimization algorithm do you suggest? I need you help in suggesting the simplest approach!!
Thanks a lot,
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Jan
el 15 de Mayo de 2015
The question is very funny. I'm convinced that your professor does not only want you to implement the method, but the decision for the method is important also. Therefore I will definitely not steal this important part of your work.
There is not general "best" or "simplest" approach, because the optimization methods depend on the model, which is optimized. A lot of models can be solved by brute force methods, e.g. when your 6 variables are coins of different value and you want to get a certain sum. Then implementing a smart algorithm might be interesting, but this is not useful because you can test all possible combinations in a very short time.
If you have a non-linear system with a lot of local minima and have to find a global minimum, a completely different algorithm is required. It matters if you can provide the derivative and if so, how expensive this is. The system can be instable or contain a stiff ODE. Perhaps some of the variables have integer values only or there are some limits and the computation of infeasible solutions is impossible. Sometimes a simulated annealing is very efficient, of a genetic algorithm. Monte-Carlo-methods are very attractive sometimes. There is no general solution and a not matching suggestion might be "simple" but useless.
If you really do not have any idea, be bold enough to ask your professor. Offer some different ideas and demonstrate, that you are dedicated.
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