Adel M <adelmn@...> writes: > > > Is it possible to add constraints to 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 ? > > > > <div><div dir="ltr"> > <span>Is it possible to add constraints to </span><a href="http://ab-initio.mit.edu/wiki/index.php/NLopt_Algorithms#Local_derivative-free_optimization"; target="_blank">derivative-free optimization</a><span> algorithms?</span><div> > <br><div>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</div> > <div>I 'm using the Nelder Mead algorithm.</div> > <div>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.</div> > <div><br></div> > <div>Is there a way to define such constraints ?</div> > </div> > </div></div> >
Hello Adel, I think the solution for you could be HillStormer. Thia software permits any kind of linear constraints and as much as control variables you may need. You can download a free trial-version for 30 days at "www.berkutec.com" Hope this may help you. Bernhard _______________________________________________ NLopt-discuss mailing list [email protected] http://ab-initio.mit.edu/cgi-bin/mailman/listinfo/nlopt-discuss
