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MathGroup Archive 1998

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A Difficult Optimization Problem !


  • To: mathgroup@smc.vnet.net
  • Subject: [mg11142] A Difficult Optimization Problem !
  • From: "Chris Farr" <farr@brown.edu>
  • Date: Mon, 23 Feb 1998 21:41:01 -0500
  • Organization: Brown University

I have a constrained maximization problem of two variables.  The
function itself is rather complicated. Some properties of the function:

*  There is a summation involved.
*  There is also an interpolating object in the expression. *  There is
a constraint on the arguments of the function.

Currently, I use the reliable but slow method of grid search to find the
maximum.  That is, I discretize the control variables.  Then, I
evaluate the expression over a matrix to find the maximum.  To
implement the constraint, I assign a flag to combinations of the choice
variables which violate the constraint.

This method works, but is extremely slow as I must perform this
optimization many times.  Can I use any of the functions in Mathematica
to solve this problem keeping in mind all of the complexities of the
above?

Thanks in advance,
Chris




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