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From Luc Maisonobe <Luc.Maison...@free.fr>
Subject Re: [math] Re: Sequential Quadratic Programming
Date Thu, 09 Sep 2010 13:28:17 GMT
Le 09/09/2010 15:12, Michael Stover a écrit :
> Thank you for your answer, Luc!
> 
> Do you know of any open-source implementations of SQP solvers?

Not directly. A quick web search lead me to hqp
<http://sourceforge.net/projects/hqp/> ? It seems to be written in C++
and distributed under the terms of the GPL. I have no experience at all
with this project.

Luc

> 
> Mike
> 
> On Thu, Sep 9, 2010 at 5:36 AM, Luc Maisonobe <Luc.Maisonobe@free.fr> wrote:
> 
>> 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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> 


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