Select Parameters to Optimize
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Author:  mmalburg [ Fri Jan 12, 2024 9:37 pm ]
Post subject:  Select Parameters to Optimize

I have a function of "n" variables for optimization. However, in some cases I only want to optimize certain variables and leave the others at fixed values. For my other work i carry a Boolean array indicating which variable to optimize. I'm new to Alglib. Is there a way to do this here?

Author:  Sergey.Bochkanov [ Sun Jan 14, 2024 11:34 pm ]
Post subject:  Re: Select Parameters to Optimize


You can use a box constrained optimizer from ALGLIB and fix that variables by specifying BndL=BndU for them.

Another option is to modify your function in such a way that it does not depend on these specific parameters, e.g. reads them from a fixed values list. In this case you may get away with unconstrained optimizers like LBFGS, they converge somewhat better.


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