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From Alexander Sehlström <alexan...@sehlstrom.se>
Subject [math] Solving SLP problem
Date Thu, 07 Mar 2013 16:13:32 GMT
Hi,

I wish to solve the following problem:

/* Problem --------------------------------------------------------
 * Starting from double[] s0, determine double[] s, the solution of:
 * 
 *     | min   f' * s
 *     |
 *     | s.t.  s_l <= s <= s_u
 * 
 * where double[] f has the same length as the double [] s.
 *
 * The double[] s_l and double[] s_u are lower and upper bounds of s,
 * respectively.
 * ----------------------------------------------------------------
 */

I have tried to understand what solution algorithm in Apache Commons Math to use. I have tried
the SimplexSolver, but it seams unable to handle SimpleBounds and demands LinearConstraint
which I do not have any.

Any suggestions of how to use the library for this problem?
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