Is it possible to add constraints to derivative-free optimization<http://ab-initio.mit.edu/wiki/index.php/NLopt_Algorithms#Local_derivative-free_optimization> algorithms?
I have an optimization problem of an X vector of size n (n >20) and have a sum constraint on some X[i]: example X[1]+X[2]+..+X[10]=1 I 'm using the Nelder Mead algorithm. Since I was not able to add a constraint, I tried penalizing the objective function when the constraint is violated but this leads to a poor result. Is there a way to define such constraints ?
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