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MathGroup Archive 2005

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Inequality constraints

  • To: mathgroup at smc.vnet.net
  • Subject: [mg60190] Inequality constraints
  • From: geir sivertsen <blackscholes at mac.com>
  • Date: Wed, 7 Sep 2005 04:03:49 -0400 (EDT)
  • Sender: owner-wri-mathgroup at wolfram.com

Hi,

Does anyone have a short example of a matrix minimization problem with 
non-negativity inequality constraints on the variables, solved without 
turning to Mathematicas NMinimize or Minimize? Preferably in matrix 
notation. I am able to solve the problem with equality constraints, 
however the inequality constraint somehow always ends up with 0 as the 
solution for my variables. I suppose this is solved by Kuhn-Tucker 
conditions, but I am not able get a solution in Mathematica.

Geir Sivertsen


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