Better repost this to julia-opt list. Mauro
On Mon, 2016-06-13 at 04:27, JC <iky...@gmail.com> wrote: > I have been trying to use JuMP for an optimization problem and ran into > many issues. > > 1. I made my own function called myf and try to register that so that I can > read it into my objective function but am getting error message saying > "Unrecognized function :myf used in nonlinear expression". > > 2. my input is a vector and I am having hard time reading vector into the > objective function. > > My code is below where x1 and y1 is 3 by 50 matrix and alpha beta are > projection matrix : > > --------- > using JuMP > m = Model(solver=NLoptSolver(algorithm=:SLSQP)) > > #- define variables > @variable(m, alpha) > @variable(m, beta) > > function myf(x,y,a,b) > # apply projection > w1 = a * x > w2 = b * x > z1 = a * y > z2 = b * y > > # calculate covariance matrix > S1 = [var(w1) cov(w1',w2'); cov(w2',w1') var(w2)] > S2 = [var(z1) cov(z1',z2'); cov(z2',z1') var(z2)] > S0 = ((nperdimension-1)*S1 + (nperdimension-1)*S2)/(ntotal-2) > > S1d = abs(S1[1,1]*S1[2,2] - S1[1,2]*S1[2,1]) > S2d = abs(S2[1,1]*S2[2,2] - S2[1,2]*S1[2,1]) > S0d = abs(S0[1,1]*S0[2,2] - S0[1,2]*S0[2,1]) > > test = - log(S1d) - log(S2d) + log(S0d) > > return test > end > > JuMP.register(:myf, 1, myf, autodiff = true) > > @NLobjective(m, Max, myf(x1,y1,alpha,beta)) > > setvalue(alpha, [1 0 0]) > setvalue(beta, [0 0 1]) > > status = solve(m) > ----------- > > My objective is to start with two projection vector [1 0 0] and [0 0 1] and > find the projection vector that gives max of test values. > Can someone please help me to get this working? > Thank you.
