You may want to search http://scicomp.stackexchange.com or wait for a response from a developer on this list. I don’t have any experience with 0/1 programming myself.
Dale Smith, Ph.D. Senior Financial Quantitative Analyst Financial & Risk Management Solutions Fiserv Office: 678-375-5315 www.fiserv.com<http://www.fiserv.com/> From: Bj Wu [mailto:[email protected]] Sent: Thursday, June 05, 2014 9:24 AM To: Smith, Dale (Norcross) Cc: [email protected] Subject: Re: [NLopt-discuss] nonlinear optimization with dummy variables Hi Dale, Thanks for your reply. Last night I added one additional constrains to make the value of variables to be 0/1. Like this: Subject: SUM{ (Xi * (Xi - 1))} = 0 I tried COBYLA, but it seems not working because it took a whole night without finding a solution... (the dimensionality in my simulation is 76). Do you have any other suggestions? Thanks again. Best, Kevin 2014-06-05 8:13 GMT-05:00 Smith, Dale (Norcross) <[email protected]<mailto:[email protected]>>: This is a class of problems called mixed integer programming, although that term is most commonly used in the OR/linear programming field. I think the term we use here is nonlinear integer programming. http://en.wikipedia.org/wiki/Integer_programming http://arxiv.org/abs/0906.5171 I didn’t find anything relevant by searching the list of algorithms in NLopt. http://ab-initio.mit.edu/wiki/index.php/NLopt_Algorithms It’s possible that your problem can be recast into something usable. I am thinking about a complementarity type problem for which a global solver with constraints can be used since you have a 0/1 variable. Dale Smith, Ph.D. Senior Financial Quantitative Analyst Financial & Risk Management Solutions Fiserv Office: 678-375-5315<tel:678-375-5315> www.fiserv.com<http://www.fiserv.com/> From: NLopt-discuss [mailto:[email protected]<mailto:[email protected]>] On Behalf Of Bj Wu Sent: Thursday, June 05, 2014 1:08 AM To: [email protected]<mailto:[email protected]> Subject: [NLopt-discuss] nonlinear optimization with dummy variables Hi guys, I am new to nlopt. I have a nonlinear optimization problem like: object: Max{ Sum((1-(1-Pi*x1)*(1-Pi*x2)*(1-Pi*x3))*Ri) } (0<i<4 and Pi, Ri is constant) subject: x1+x2+x3 <= 2 xi is dummy variable which means it can only choose 0 or 1 value. Is there any API I can use to play with such dummy variables? For example, is it possible that I could use some API like the bounds setting APIs to fix the variables value to 0 or 1. Thank you very much. Best, Kevin
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