On Thu, Mar 7, 2013 at 5:13 PM, Alexander Sehlström <[email protected]>wrote:
> Hi, > > I wish to solve the following problem: > > /* Problem -------------------------------------------------------- > * Starting from double[] s0, determine double[] s, the solution of: > * > * | min f' * s > * | > * | s.t. s_l <= s <= s_u > * > * where double[] f has the same length as the double [] s. > * > * The double[] s_l and double[] s_u are lower and upper bounds of s, > * respectively. > * ---------------------------------------------------------------- > */ > > I have tried to understand what solution algorithm in Apache Commons Math > to use. I have tried the SimplexSolver, but it seams unable to handle > SimpleBounds and demands LinearConstraint which I do not have any. > > Any suggestions of how to use the library for this problem? Hi Alexander, you can also see your bounds as linear constraints: s_l <= s <= s_u is equivalent to linear constraint s_i >= s_l linear constraint s_i <= s_u where s_i is your respective entry in the s array. Hope this helps, Thomas
