|Linearly constrained optimization -- what search algorithm ?
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|Author:||ilya_f81 [ Fri Aug 26, 2016 1:59 pm ]|
|Post subject:||Linearly constrained optimization -- what search algorithm ?|
I want to use the package for performing optimization constrained with (arbitrary) linear inequalities. The website description
http://www.alglib.net/optimization/boundandlinearlyconstrained.phpmentions that the underlying search algorithm is CG, but then on the same page it also mentions (L-)BFGS.
My question is - if I use linearly constrained optimization in ALGLIB, can I work with (L-)BFGS as the optimization technique? Or is only CG available?
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