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From Luc Maisonobe <Luc.Maison...@free.fr>
Subject [math] Re: Sequential Quadratic Programming
Date Thu, 09 Sep 2010 09:36:30 GMT
Hi Michael,

First of all, please add a [math] marker in the subject line when
posting to this list concernin the commons-math component. The list is
shared among a large number of components and such markers help filtering.

Le 09/09/2010 04:00, Michael Stover a écrit :
> I am not a mathematician, but I write software for a bunch of them, so
> forgive me my limited knowledge of the math and math terms...
> 
> I need to implement a solution that is estimating the optimal values for
> several parameters.  I have an objective function and starting points and
> all that.  The code I have to rewrite currently is using a method called
> "SQP", or Sequential Quadratic Programming (actually, a special version of
> it called DESQP - Differential Equation Sequential Quadratic Programming).
>  Supposedly such a function exists in R, but I do not know where to find it,
> and I was looking through Apache Math Commons for the equivalent solution,
> but I am not sure what it would be, as the names of the optimizers seem to
> be following a different nomenclature.
> 
> Can anyone tell me whether one can optimize/estimate using SQP with Apache
> Math Commons, and some pointers on how to get started?

Unfortunately, there are no SQP methods available in commons-math yet
(patches welcome!). The only constrained optimization methods we have
are limited to linear problems and linear constraints. The optimization
methods we have for non-linear problems do not handle constraints yet.

Luc

> 
> -Mike
> 


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