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[Help-gsl] minimization with constraints

From: Srinivasan, Rajagopalan [ANMUS]
Subject: [Help-gsl] minimization with constraints
Date: Fri, 16 Sep 2011 16:25:21 -0400

Hope someone can help this "newbie" to gsl.


I have a minimization problem but I cannot conceive of a way to come up
with a gradient. Hence I am using gsl_multimin_fminimizer_nmsimplex.
There are 5 variables in the range -1.0 - 72.0 with a desired step size
of 0.01. 


Since I do have constraints (-1.0 .. 72.0) , in my cost function, I
return GSL_NAN when the constraints are violated by the independent
variables. I am not sure if this is the proper way to implement the
constraints. The results so far are unsatisfactory. 


Couple of questions:


-          What is the proper way to implement the constraints?

-          I was hoping to use nmsimplex2 but does not appear to be in
my gsl library. (My problem is of size 5 and performance is somewhat

-          Similarly how about nmsimplex2rand


If there are other suggestions, I would welcome them as well.


Cheers, srini

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