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## Re: [Help-gsl] minimization with constraints

**From**: |
Martin Jansche |

**Subject**: |
Re: [Help-gsl] minimization with constraints |

**Date**: |
Fri, 16 Sep 2011 17:12:37 -0400 |

The easiest way is to smoothly transform your parameters. E.g. if you have
a parameter y constrained to fall within [-1; 72], then define
y = 73.0 / (1 + exp(-x)) - 1
in terms of a sigmoid function and optimize w.r.t. unconstrained x over the
real line. Note that y goes to 72 for x->Inf and y goes to -1 for x->-Inf,
as desired.
Regards,
-- mj
On Fri, Sep 16, 2011 at 16:25, Srinivasan, Rajagopalan [ANMUS] <
address@hidden> wrote:
>* 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*
>* critical).*
>
>* - Similarly how about nmsimplex2rand*
>
>
>
>* If there are other suggestions, I would welcome them as well.*
>
>
>
>* Cheers, srini*
>
>* _______________________________________________*
>* Help-gsl mailing list*
>* address@hidden*
>* https://lists.gnu.org/mailman/listinfo/help-gsl*
>