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| SQP for non-quadratic problems http://forum.alglib.net/viewtopic.php?f=2&t=3816 |
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| Author: | kermado [ Mon Sep 25, 2017 4:36 pm ] |
| Post subject: | SQP for non-quadratic problems |
So my problem is non-quadratic, but I want to use the usual SQP procedure of minimising the quadratic approximation (obtained from a Taylor expansion) to obtain the next iterate. Do I need to formulate this myself? If so, I'd like to use a finite differences approximation for the gradient and hessian. Does alglib expose any functions that will approximate the gradient and hessian for me? |
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| Author: | Sergey.Bochkanov [ Tue Sep 26, 2017 5:13 pm ] |
| Post subject: | Re: SQP for non-quadratic problems |
Hi! Unfortunately, no - you have to do numerical differentiation and QP problem formulation yourself. Buy you can use ALGLIB QP solvers to solve QP problems after you prepared them. |
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