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From Michael Stover <michael.r.sto...@gmail.com>
Subject Re: [math] Re: Sequential Quadratic Programming
Date Thu, 09 Sep 2010 13:12:54 GMT
Thank you for your answer, Luc!

Do you know of any open-source implementations of SQP solvers?

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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