A Difficult Optimization Problem !
- To: mathgroup@smc.vnet.net
- Subject: [mg11142] A Difficult Optimization Problem !
- From: "Chris Farr" <farr@brown.edu>
- Date: Mon, 23 Feb 1998 21:41:01 -0500
- Organization: Brown University
I have a constrained maximization problem of two variables. The function itself is rather complicated. Some properties of the function: * There is a summation involved. * There is also an interpolating object in the expression. * There is a constraint on the arguments of the function. Currently, I use the reliable but slow method of grid search to find the maximum. That is, I discretize the control variables. Then, I evaluate the expression over a matrix to find the maximum. To implement the constraint, I assign a flag to combinations of the choice variables which violate the constraint. This method works, but is extremely slow as I must perform this optimization many times. Can I use any of the functions in Mathematica to solve this problem keeping in mind all of the complexities of the above? Thanks in advance, Chris