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From Michael Stover <>
Subject Sequential Quadratic Programming
Date Thu, 09 Sep 2010 02:00:58 GMT
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?


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