FindMinimum KKT results
- To: mathgroup at smc.vnet.net
- Subject: [mg97864] FindMinimum KKT results
- From: "Stuart Nettleton" <Stuart.Nettleton at uts.edu.au>
- Date: Tue, 24 Mar 2009 05:30:52 -0500 (EST)
- Organization: University of Technology, Sydney
Greetings, Would someone be able to suggest if Kuhn Karush Tucker (KKT) results are available from FindMinimum? KKT residuals are indeed calculated as I sometimes see when my optimisations fail to converge. Just as a guide to the size of my task, FindMinimum sometimes takes around 100 hours of hard work to find the minimum I need (and I am in awe of what it does). Lagrange multipliers for linear constraints can be output from Linear Programming with the DualLinearProgramming function. So what I am looking for is a sort of undocumented "DualFindMinimum" to show the KKT nonlinear constraint equivalents of Lagrange multipliers. It is possible to calculate the KKT from fundamentals but this takes a long time for very large problems and there is no guarantee that the KKT multipliers I locate with FindInstance are actually the ones finally settled on by FindMinimum. Look forward to any thoughts on the topic! Thanks, Stuart -- UTS CRICOS Provider Code: 00099F DISCLAIMER: This email message and any accompanying attachments may contain confidential information. If you are not the intended recipient, do not read, use, disseminate, distribute or copy this message or attachments. If you have received this message in error, please notify the sender immediately and delete this message. Any views expressed in this message are those of the individual sender, except where the sender expressly, and with authority, states them to be the views the University of Technology, Sydney. Before opening any attachments, please check them for viruses and defects.