MathGroup Archive 1992

[Date Index] [Thread Index] [Author Index]

Search the Archive

Optimisation mit constraint

  • To: mathgroup at
  • Subject: Optimisation mit constraint
  • From: Colin Rose <colinr at>
  • Date: Tue, 24 Nov 92 3:55:21 EST

   Rod Price writes:
>> I need to minimize a function of about thirty variables subject to
>> three constraint equations, each of which involves all thirty     
>> variables.  If I didn't have the constraints, I would use something  
>> like FindMinimum[] to do the minimization numerically. On the other
>> hand, if I had only a few variables, I would use Lagrange multipliers
>> to solve the minimization problem by hand.  Unfortunately, I can't do  
>> either, so:  Is there a way of minimizing my function numerically in  
>> Mma with the constraints? 

If your function is linear (and if your constraints are linear), you can
use ConstrainedMin[]. If it is NOT linear, may I suggest:
1.  Specify the Lagrangean in Mma: call it L. Then...
2.  NSolve[ { D[L, x1]      == 0, 
              D[L, x2]      == 0,       etc
              D[L, lambda1] == 0,       etc   },  
            {x1, x2, ..., x30, lambda1, lambda2, lambda3} ]
    which may do it for you. Of course, if you have 30 variables, this
may prove somewhat tedious. If my memory serves me correctly,  Hal Varian
has a package that automates much of the tedium in this respect in his

   Varian, Hal (1992), Economic and Finanical Modeling with Mma....

It should be out before the year's end.



Colin Rose
Dept. of Economics
University of Sydney
colinr at

  • Prev by Date: Re: Math typesetting in plot labels
  • Next by Date: nonlinear two point boundary problems
  • Previous by thread: How much math-typesetting smarts should Mma include?
  • Next by thread: nonlinear two point boundary problems