Optimization with multiple constraints
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Author:  cg1985 [ Mon Nov 30, 2015 8:33 am ]
Post subject:  Optimization with multiple constraints

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

Author:  Sergey.Bochkanov [ Tue Dec 01, 2015 10:08 am ]
Post subject:  Re: Optimization with multiple constraints

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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