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| Constraint on weighted sum of variables (minasa) http://forum.alglib.net/viewtopic.php?f=2&t=129 |
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| Author: | voogi [ Thu Nov 25, 2010 2:24 pm ] |
| Post subject: | Constraint on weighted sum of variables (minasa) |
Hi! I've been looking all over the internet for a QP solver, and then I found ALGLIB. I need to maximize the following function (I'm implementing an SVM): sum(i from 1 to L) a_i - 0.5*a'*H*a a being a vector of length L, a_i the elements of a and H an L*L symmetric matrix. The constraints: 0 <= a_i <= C where C is a predetermined constant and sum(i from 1 to L) a_i*y_i = 0 y_i are the classes of each of the L training examples i have provided the SVM, and y_i takes on the values of either 1 och -1. It is this last constraint that I am uncertian on how to implement using the minasa subpackage. Is it even possible? |
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| Author: | Sergey.Bochkanov [ Thu Nov 25, 2010 7:51 pm ] |
| Post subject: | Re: Constraint on weighted sum of variables (minasa) |
It is impossible for now (unless you try to play with penalty functions). But it is possible that next release of ALGLIB will include optimizer for a combination of bound and linear constraints. |
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