Numerical Optimization of Expensive Functions
- To: mathgroup at smc.vnet.net
- Subject: [mg41843] Numerical Optimization of Expensive Functions
- From: Kyriakos Chourdakis <k.chourdakis at qmul.ac.uk>
- Date: Fri, 6 Jun 2003 09:51:30 -0400 (EDT)
- Sender: owner-wri-mathgroup at wolfram.com
Dear all, I am planning to optimize a function f of about 10 variables which under a constrint set c, where: 1. f is *very* expensive to compute [one function evaluation in Mathematica takes about 10 mins] 1a. f cannot be computed very accurately [only the first 5-6 sig digits are reliable, with f in the 1000-10000 scale] 2. The derivatives are unknown in closed form and have to be computed numerically 3. The constraints are linear 4. The Hessian matrix is required on completion I know of the packages NPSOL and LSSOL which are designed to deal with such problems. They are implemented in FORTRAN77. A. Do you know of such an implementation for Mathematica? B. Is it possible to use the F77 versions of the packages to solve the problem? Is there a way of calling the F77 subroutines from MMa? I do not have the Fortran90/95 compilers, only g77. Kyriakos Oo.oOo.oOo.oOo.oOo.oOo.oOo.oOo.oO Kyriakos Chourdakis Lecturer in Financial Economics URL: http://www.theponytail.net/ URL: http://www.qmul.ac.uk/~te9001 tel: (++44) (+20) 7882 5086 Dept of Economics University of London, QM London E1 4NS U.K.