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 Post subject: Optimization with multiple constraints
PostPosted: Mon Nov 30, 2015 8:33 am 
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Joined: Thu Jun 04, 2015 11:57 am
Posts: 2
Hi all,

I want to optimaze a function given as: sum x_i*r_i, where r_i is known and x_i are the variables. Furhtermore I have three constraints, which are the followings:
(1) 0<=x_i <=1, for all i=1,...,n
(2) sum x_i = 1
(3) sum x_i * t_i <= sig*, with t_i known and sig* user-given parameter.

My question is now, how I can use ALGLIB and especially which optimizer of the ALGLIB-lib to solve this problem?

Kind regards
Claude


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 Post subject: Re: Optimization with multiple constraints
PostPosted: Tue Dec 01, 2015 10:08 am 
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Joined: Fri May 07, 2010 7:06 am
Posts: 871
You should use BLEIC optimizer, provided by minlbeic subpackage of ALGLIB. (1) is a box constraint - use minbleicsetbc(), (2) and (3) are general linear constraints, pass them with minbleicsetlc().


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