Re: projected gradient
- To: mathgroup at christensen.cybernetics.net
- Subject: [mg1620] Re: projected gradient
- From: "James Albert Larson" <larso171 at maroon.tc.umn.edu>
- Date: Thu, 6 Jul 1995 23:23:00 -0400
- Organization: University of Minnesota, Twin Cities
On 2 Jul 1995 22:59:29 GMT, Filippo <teltesi25 at .polito.it> wrote: >I am an Electrical Engineering Student needing to find >the constrained minimum of a function of several >variables using the projected gradient algorithm. >I would like to know if this algorithm is already >been inplemented for Mathematica and should this be >the case how to find it. Ans: no. The LinearProgramming and ConstrainedMin works with constraints, but is only for linear objective function and linear constraints. The only other optimization function in Mathematica is FindMinimum -- the objective function can be nonlinear, but no constraints are allowed. (There are also ConstrainedMax and FindMaximum -- the same as ConstrainedMin and FindMinimum except maximizes rather than minimizes). This is the only thing I am aware of from Mathsource or anywhere else that deals with constrained nonlinear problems: MultiplierMethod -- A General Purpose Algorithm forNonlinear Programming Jean-Christophe Culioli Revision date: 950116 This is an implementation of the Method of Multipliers (or the Augmented Lagrangian method) due to Hestenes, Powell, Rockafellar and others. It solves nonlinear programming minimization problems with inequality and/or equality constraints. As such, it is a natural generalization of the FindMinimum built-infunction. See for example D. G. Luenberger, "Linear and Nonlinear Programming", Addison-Wesley,second. ed., 1989. See also D. P. Bertsekas, "Constrained Optimization and Lagrange MultiplierMethods", Academic Press, 1982. MultiplierMethod.m Mathematica package (940917, 9 Kb) MultiplierMethod.ma Mathematica notebook (940917, 19 Kb) Jim Larson