A Difficult Optimization Problem !
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- Subject: [mg11142] A Difficult Optimization Problem !
- From: "Chris Farr" <firstname.lastname@example.org>
- 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
Thanks in advance,
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