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| Optimization with multiple constraints http://forum.alglib.net/viewtopic.php?f=2&t=3388 |
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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 Claude |
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| 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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