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 Post subject: Active Set Algorithm in VBA
PostPosted: Tue Jun 07, 2011 12:36 pm 

Joined: Tue Jun 07, 2011 12:14 pm
Posts: 1

I am trying to solve a non-linear optimization problem with constraints using the VBA implementation of the AS algorithm. I found an example of the use of the Levenberg-Marquardt algorithm here: viewtopic.php?f=2&t=76. Is the AS algorithm used in the same way? Moreover, I did not fully grasp how I should include my target function / gradient. The example format seems to be the following:

Do While MinLMIteration(State)
X = State.X(0#)
Y = State.X(1#)
If State.NeedF then
State.F = Square(X-2#*Y)+Square(X-2#)+Square(Y-1#)
End If
If State.NeedFiJ then
State.Fi(0#) = X-2#*Y
State.Fi(1#) = X-2#
State.Fi(2#) = Y-1#
State.J(0#,0#) = 1#
State.J(0#,1#) = -2#
State.J(1#,0#) = 1#
State.J(1#,1#) = 0#
State.J(2#,0#) = 0#
State.J(2#,1#) = 1#
End If

To be sure, could you explain what the State.Fi and State.J statements mean?

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