Re: Constraint optimization

[Paul Koufalas]

You can also try Prof. Ye's Matlab software, it runs unmodified on 
Octave (+ forge).

Visit http://www.stanford.edu/~yyye/ and follow the links.

It dates from his PhD back in the late 1980s, but I'm using it and it 
works for me.

It uses numerical derivatives (forward differences).

Cheers,
Paul.

Eric S Fraga wrote:

> > I am looking for an algorithm that does constraint optimization.  For
> > the time being I only require bounds and linear constraints, but it must
> > be able to work with optimization for multivariate problems (e.g.
> > fmincon).
> >    
>
> Maybe have a look at the Matlab functions described by Kelley:
>
> @Book{kelley-1999,
>  author = {C. T. Kelley},
>  title =  {Iterative methods for optimization},
>  publisher = {{SIAM}},
>  year = 1999
> }
>
> I believe he has made a number of functions available so do a web search.
>
> Alternatively, if your constraints are linear and if your objective function
> is well-defined outside the feasible region, incorporated the constraints
> directly into a new objective function as part of a penalty function and use
> a non-constrainted optimization method.
>
> cheers,
> eric
>
>  



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