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| Simultaneous optimisation of 2 interdependant functions http://forum.alglib.net/viewtopic.php?f=2&t=739 |
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| Author: | carl_h [ Fri Nov 30, 2012 8:29 am ] |
| Post subject: | Simultaneous optimisation of 2 interdependant functions |
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 |
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