Re: Constraint optimization

[Michael Creel]

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.



-------------------------------------------------------------
Octave is freely available under the terms of the GNU GPL.

Octave's home on the web:  http://www.octave.org
How to fund new projects:  http://www.octave.org/funding.html
Subscription information:  http://www.octave.org/archive.html
-------------------------------------------------------------