Re: nonlinear optimization routines?
- To: mathgroup at yoda.physics.unc.edu
- Subject: Re: nonlinear optimization routines?
- From: rubin at msu.edu (Paul A. Rubin)
- Date: Mon, 20 Jun 94 13:45:42 EDT
>I have an office mate who is searching for a Mma package which will solve >optimization problem with linear constraints and a nonlinear objective >functions (i.e. the solution space is convex). There are only 10 decision >variables but he needs solve the problem for lots of cases (so it would be >helpful if he could execute the package from within a loop). > >Does anyone know if the standard packages will do this The built-in FindMinimum routine is for unconstrained problems of a single variable, while LinearProgramming and ConstrainedMax/ConstrainedMin are for linear programs (so they cannot handle nonlinear objectives). >or has anyone >written a package that will solve this problem (linear constraints and >nonlinear functions) > There doesn't seem to be anything on MathSource. >He tried the nonlinear solver in Excel, but it doesn't return the >optimium.... so he's looking for other ideas. Not a good sign. Excel uses the GRGII algorithm, which is pretty highly regarded as a general solver (can't speak to the specific implementation in Excel, though). Is the objective smooth and convex (minimizing) or concave (maximizing)? If not, he's got problems. > RSVP to this email address >and I'll forward the responses to him. > ************************************************************************** * Paul A. Rubin Phone: (517) 336-3509 * * Department of Management Fax: (517) 336-1111 * * Eli Broad Graduate School of Management Net: RUBIN at MSU.EDU * * Michigan State University * * East Lansing, MI 48824-1122 (USA) * ************************************************************************** Mathematicians are like Frenchmen: whenever you say something to them, they translate it into their own language, and at once it is something entirely different. J. W. v. GOETHE