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| nonlinear constrained minimization http://forum.alglib.net/viewtopic.php?f=2&t=752 |
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| Author: | PeterKottas [ Sat Dec 29, 2012 7:26 pm ] |
| Post subject: | nonlinear constrained minimization |
Hello everybody. I am currently trying to solve nonlinear constrained minimization problem as implemented in matlab "fmincon" function. My expectations are, minimize(fun1,x0,uB,lB,fun2) where x0 is initial state, fun1 is function that needs to be minimized, uB are upper bounds, lB are lower bounds and fun2 is function that provides vectors of nonlinear equalities/inequalities as described in http://www.mathworks.com/help/optim/ug/fmincon.html as nonlcon function. These vectors are changing through iterations as well (they are dependent on x_n, n-th iteration of solution vector). In matlab implementation they are in a form c(x)<=0. I need to find a function to calculate them just like in matlab fmincon implementation. Good example of what i want to do is first one on this page http://www.mathworks.com/help/optim/ug/ ... id=doc_12b . Only difference is that I need boundaries as well... Is there a similar function in alglib or could you at least help me with solution using some other c++ library ? |
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