| forum.alglib.net http://forum.alglib.net/ |
|
| MinASA Algorithm with a constraint on State.X for Delphi http://forum.alglib.net/viewtopic.php?f=2&t=3492 |
Page 1 of 1 |
| Author: | BackwardPawn [ Sun Jan 03, 2016 2:07 am ] |
| Post subject: | MinASA Algorithm with a constraint on State.X for Delphi |
Hi All, I'm looking to implement the MinASA algorithm in Delphi, but I need to add a constraint to the sum of the vector: State.X. I understand that this is implemented in the BLEIC algorithm available in the commercial version, but from what I can tell the commercial version isn't yet available for Delphi. Does anyone know if there's a workaround for Delphi users? I have tried incorporating a penalty function within the objective function, but whilst this gives reasonable results in most cases this approach misses a few of the optimal solutions. Any assistance would be greatly appreciated. |
|
| Author: | BackwardPawn [ Mon Jan 04, 2016 8:40 pm ] |
| Post subject: | Re: MinASA Algorithm with a constraint on State.X for Delphi |
Hi All, For those who are interested, I did find a method that generates reasonable results using minASA: My solution is to run the algorithm with n-1 parameters and set the last parameter to ensure the constraint on state.X is met. I did add a penalty function to the objective function if the last parameter is out of bounds. When numerically finding the derivative of the function, I ignored the penalty function for each of the n-1 parameters. I found that the first solution was very good but depended heavily on the initial default weights. To overcome this, after finding a local minimum I then randomly adjusted the solution slightly and repeated the process ... after a while the global minima was found. It would be good to hear if anyone has used this approach or has found an alternative method. |
|
| Page 1 of 1 | All times are UTC |
| Powered by phpBB © 2000, 2002, 2005, 2007 phpBB Group http://www.phpbb.com/ |
|