Re: projected gradient
- To: mathgroup at christensen.cybernetics.net
- Subject: [mg1620] Re: projected gradient
- From: "James Albert Larson" <larso171 at maroon.tc.umn.edu>
- Date: Thu, 6 Jul 1995 23:23:00 -0400
- Organization: University of Minnesota, Twin Cities
On 2 Jul 1995 22:59:29 GMT,
Filippo <teltesi25 at .polito.it> wrote:
>I am an Electrical Engineering Student needing to find
>the constrained minimum of a function of several
>variables using the projected gradient algorithm.
>I would like to know if this algorithm is already
>been inplemented for Mathematica and should this be
>the case how to find it.
Ans: no. The LinearProgramming and ConstrainedMin works with
constraints, but is only for linear objective function and linear
constraints. The only other optimization function in Mathematica is
FindMinimum -- the objective function can be nonlinear, but no constraints
are allowed. (There are also ConstrainedMax and FindMaximum -- the same as
ConstrainedMin and FindMinimum except maximizes rather than minimizes).
This is the only thing I am aware of from Mathsource or anywhere else that
deals with constrained nonlinear problems:
MultiplierMethod -- A General
Purpose Algorithm forNonlinear Programming
Jean-Christophe Culioli
Revision date: 950116
This is an implementation of the Method of Multipliers (or the Augmented
Lagrangian method) due to Hestenes, Powell, Rockafellar and others. It
solves nonlinear programming minimization problems with inequality and/or
equality constraints. As such, it is a natural generalization of the
FindMinimum built-infunction. See for example D. G. Luenberger, "Linear
and Nonlinear Programming", Addison-Wesley,second. ed., 1989. See also D.
P. Bertsekas, "Constrained Optimization and Lagrange MultiplierMethods",
Academic Press, 1982.
MultiplierMethod.m Mathematica package (940917, 9 Kb)
MultiplierMethod.ma Mathematica notebook (940917, 19 Kb)
Jim Larson