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MathGroup Archive 1993

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Re: Optimization

  • To: mathgroup at yoda.physics.unc.edu
  • Subject: Re: Optimization
  • From: H. Scott Roy <hsr at cs.stanford.edu>
  • Date: Tue, 20 Apr 93 11:11:43 -0700

Thanks Jerry!

Your description of the FindMinimum algorithm is reassuring.  Unfortunately, I  
realize now that the function I'm trying to optimize includes a simple  
nonlinear constraint.  As Risto Karjalainen notes in his message "GARCH  
estimation," there seems to be no way for FindMinimum to incorporate such  
restrictions.

Anyone know how to get around that one?

My current strategy is to use MathLink to connect with external optimization  
routines.  This gives access to a vast collection of Fortran and C code hand  
tailored for different kinds of optimization problems.

Scott Roy





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