Numerical Optimization involving equation solving
- To: mathgroup at smc.vnet.net
- Subject: [mg55969] Numerical Optimization involving equation solving
- From: "Brian Rogers" <brifry at gmail.com>
- Date: Tue, 12 Apr 2005 05:26:28 -0400 (EDT)
- Sender: owner-wri-mathgroup at wolfram.com
I need to optimize a function of one variable, say
f[x_]:=(stuff;Return[ans];). Computing the value of f requires solving
a (non-linear) system of equations that depend on x, and using this
solution to compute some other things.
Now, evaluating f at a numerical value of x works just fine, and I can
even plot f (using Plot[f[x],{x,0,1}]) and eyeball the optimum. By the
way, f is a very well behaved function--it is typically smooth and
globally convex. However, what I really want to do is use FindMinimum
(or NMinimize) to numerically return the optimum. When I use either of
these built-in functions, they crash. I believe that they are first
trying to evaluate f[x] symbolically--which would understandably cause
it to crash because the system of equations doesn't have a closed form
solution in x.
I've tried using the "Compiled" option with no luck. How can I force
FindMinimum to use a purely numerical procedure to optimize my
function?
Any help is greatly appreciated, and please copy any reply to
brifry at gmail.com.
Thanks!
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