forum.alglib.net

Hi All,

I'm looking to implement the MinASA algorithm in Delphi, but I need to add a constraint to the sum of the vector: State.X.

I understand that this is implemented in the BLEIC algorithm available in the commercial version, but from what I can tell the commercial version isn't yet available for Delphi.

Does anyone know if there's a workaround for Delphi users?

I have tried incorporating a penalty function within the objective function, but whilst this gives reasonable results in most cases this approach misses a few of the optimal solutions.

Any assistance would be greatly appreciated.

Hi All,

For those who are interested, I did find a method that generates reasonable results using minASA:

My solution is to run the algorithm with n-1 parameters and set the last parameter to ensure the constraint on state.X is met. I did add a penalty function to the objective function if the last parameter is out of bounds. When numerically finding the derivative of the function, I ignored the penalty function for each of the n-1 parameters.

I found that the first solution was very good but depended heavily on the initial default weights. To overcome this, after finding a local minimum I then randomly adjusted the solution slightly and repeated the process ... after a while the global minima was found.

It would be good to hear if anyone has used this approach or has found an alternative method.