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| linear constraints in minasa http://forum.alglib.net/viewtopic.php?f=2&t=388 |
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| Author: | ahala [ Sun Jun 12, 2011 1:36 pm ] |
| Post subject: | linear constraints in minasa |
can I specify linear contraints in minasa()? say, if not only I have constraints BndL[i] <= x[i] <= BndU[i], but also sum(x,i = 0 to n) <= something, can I do this in minasa or any other ALGLIB optimization package? thanks. |
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| Author: | Sergey.Bochkanov [ Sun Jun 12, 2011 4:59 pm ] |
| Post subject: | Re: linear constraints in minasa |
I recommend you to use BLEIC package. It is not described in the ALGLIB User Manual yet (description will be available within a week or two), but ALGLIB Reference Manual has complete reference and examples. This package supports both boundary and linear (equality/inequality) constraints. |
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| Author: | ahala [ Sun Jun 12, 2011 10:33 pm ] |
| Post subject: | Re: linear constraints in minasa |
Sergey.Bochkanov wrote: I recommend you to use BLEIC package. It is not described in the ALGLIB User Manual yet (description will be available within a week or two), but ALGLIB Reference Manual has complete reference and examples. This package supports both boundary and linear (equality/inequality) constraints. Can I ask what's the underlying algo for BLEIC package? |
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| Author: | Sergey.Bochkanov [ Mon Jun 13, 2011 5:28 am ] |
| Post subject: | Re: linear constraints in minasa |
Quote: Can I ask what's the underlying algo for BLEIC package? It is nonlinear conjugate gradient method, which handles constraints as follows: a) it classifies them as either active or inactive b) it projects function gradient into subspace of active constraints c) it carefully monitors step length and gradient direction and activates/deactivates constraints as necessary In fact, BLEIC is active set method too, but more sophisticated than ASA. |
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