Thank you for your answer, Luc! Do you know of any open-source implementations of SQP solvers?
Mike On Thu, Sep 9, 2010 at 5:36 AM, Luc Maisonobe <[email protected]> wrote: > Hi Michael, > > First of all, please add a [math] marker in the subject line when > posting to this list concernin the commons-math component. The list is > shared among a large number of components and such markers help filtering. > > Le 09/09/2010 04:00, Michael Stover a écrit : > > I am not a mathematician, but I write software for a bunch of them, so > > forgive me my limited knowledge of the math and math terms... > > > > I need to implement a solution that is estimating the optimal values for > > several parameters. I have an objective function and starting points and > > all that. The code I have to rewrite currently is using a method called > > "SQP", or Sequential Quadratic Programming (actually, a special version > of > > it called DESQP - Differential Equation Sequential Quadratic > Programming). > > Supposedly such a function exists in R, but I do not know where to find > it, > > and I was looking through Apache Math Commons for the equivalent > solution, > > but I am not sure what it would be, as the names of the optimizers seem > to > > be following a different nomenclature. > > > > Can anyone tell me whether one can optimize/estimate using SQP with > Apache > > Math Commons, and some pointers on how to get started? > > Unfortunately, there are no SQP methods available in commons-math yet > (patches welcome!). The only constrained optimization methods we have > are limited to linear problems and linear constraints. The optimization > methods we have for non-linear problems do not handle constraints yet. > > Luc > > > > > -Mike > > > > > --------------------------------------------------------------------- > To unsubscribe, e-mail: [email protected] > For additional commands, e-mail: [email protected] > >
