Re: convex optimization
- To: mathgroup at smc.vnet.net
- Subject: [mg92385] Re: convex optimization
- From: Yves Klett <yves.klett at googlemail.com>
- Date: Tue, 30 Sep 2008 07:34:57 -0400 (EDT)
- References: <gbmpr7$i7u$1@smc.vnet.net>
Art, why not have a look at: http://reference.wolfram.com/mathematica/guide/Optimization.html or guide/Optimization in the Documentation Center? For several different (both symbolic and numerical) optimization problems I encountered the functionality out of the box worked fine. Regards, Yves artg schrieb: > What is the range of Mathematica's functionality in 'convex optimization' (as > defined on wikipedia). Many convex optimization problems can be very > concisely stated in Mathematica. Does it have SDP and 2nd-order cone > programs or is it necessary to purchase an addon package? > > I just tried and was surprised it solved this sparse approximation problem: > > n = 100; m = 200; > A = RandomReal[NormalDistribution[0, 1], {n, m}]; > b = RandomReal[NormalDistribution[0, 1], n]; > xs = Array[x, m]; > > res = NMinimize[{Norm[xs, 1], A.xs == b}, xs]; > soln = Flatten[xs /. res[[2]]]; > > Total at Chop[A.soln - b] == 0 > True