optimization; linear but complex constraint equations
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Hi, I am solving an optimization problem, with quadratic min function under constraints. the constraint is linear (my numerical tests confirm) but it is so complex equation that it is impossible to segregate optim variable from equation to write it in the form Ax<=b (there are square roots involved).
Any solutions ?
thanks in advance !
aft
1 comentario
Steve Grikschat
el 3 de Mzo. de 2011
Can you write out the equation? If it truly is linear, there should be a way to write it in Ax <= b form.
If not, consider solving the problem using a general nonlinear constrained solver (fmincon). You can thus provide the gradients (H*x + f) and the Hessian (H), which will speed things up a bit.
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aft
el 3 de Mzo. de 2011
1 comentario
Steve Grikschat
el 4 de Mzo. de 2011
In that case, I would suggest using a general nonlinear constrained solver (in this case, fmincon). Specify your constraints as a "nonlinear" constraint function.
You can (and should) provide the gradients (H*x + f) and the Hessian (H) of the objective function, which will speed things up a bit. It doesn't sound possible, but it would be better to get the derivatives of the constraint as well.
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