forum.alglib.net

Hi everybody,

I would like two simultaneously optimize two function f(x,h(x,y)) and g(y,h(x,y)) where x and y are the variables and h(x,y) is a "parameter" that varies with x and y. In other words, y can be seen as a parameter of f and x as a parameter of g.

Do you how to use the L-BFGS or CG algorithms to solve that problem. My first guess would be the following:
- You fix y
- You optimize f(x,h(x,y))
- You optimize g(y,h(x,y)) with the solution you found for x
- You loop until you meet a certain condition.

What do you think about it?

Thanks a lot

Carl