forum.alglib.nethttp://forum.alglib.net/ Active Set Algorithm in VBAhttp://forum.alglib.net/viewtopic.php?f=2&t=381 Page 1 of 1

 Author: mesman [ Tue Jun 07, 2011 12:36 pm ] Post subject: Active Set Algorithm in VBA Hello,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 Loop To be sure, could you explain what the State.Fi and State.J statements mean?

 Page 1 of 1 All times are UTC Powered by phpBB © 2000, 2002, 2005, 2007 phpBB Grouphttp://www.phpbb.com/