forum.alglib.net

ALGLIB forum
It is currently Thu Mar 28, 2024 6:31 pm

All times are UTC


Forum rules


1. This forum can be used for discussion of both ALGLIB-related and general numerical analysis questions
2. This forum is English-only - postings in other languages will be removed.



Post new topic Reply to topic  [ 2 posts ] 
Author Message
 Post subject: Optimization with multiple constraints
PostPosted: Mon Nov 30, 2015 8:33 am 
Offline

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


Top
 Profile  
 
 Post subject: Re: Optimization with multiple constraints
PostPosted: Tue Dec 01, 2015 10:08 am 
Offline
Site Admin

Joined: Fri May 07, 2010 7:06 am
Posts: 903
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().


Top
 Profile  
 
Display posts from previous:  Sort by  
Post new topic Reply to topic  [ 2 posts ] 

All times are UTC


Who is online

Users browsing this forum: No registered users and 52 guests


You cannot post new topics in this forum
You cannot reply to topics in this forum
You cannot edit your posts in this forum
You cannot delete your posts in this forum
You cannot post attachments in this forum

Search for:
Jump to:  
cron
Powered by phpBB © 2000, 2002, 2005, 2007 phpBB Group