forum.alglib.net http://forum.alglib.net/ 

Optimization with multiple constraints http://forum.alglib.net/viewtopic.php?f=2&t=3388 
Page 1 of 1 
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* usergiven parameter. My question is now, how I can use ALGLIB and especially which optimizer of the ALGLIBlib to solve this problem? Kind regards Claude 
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(). 
Page 1 of 1  All times are UTC 
Powered by phpBB © 2000, 2002, 2005, 2007 phpBB Group http://www.phpbb.com/ 