Open emmaparker96 opened 4 years ago
Hey,
Good question. I haven't tried nor implemented giving implicit constraints yet. I assume that when you are giving these constraints, you are not using a Nelder-Mead algorithm in scipy?
Cheers
Hi,
Thanks for the answer, then I will continue looking for alternatives. I tried the COBYLA and SLSQP algorithms in Scipy, but could not get optimal results. I looked for an alternative and ended up with this project.
Cheers
Ah, alright. Have you looked into IP methods?
https://docs.scipy.org/doc/scipy/reference/optimize.linprog-interior-point.html https://github.com/jkaardal/pyipm
The problem is that this package transforms the boundaries in such a way that the objectiv function becomes unconstrained. Doing this for implicit functions is a bit tricky and I don't have much time to implement this besides work right now.
Besides the lower and upper bounds for the variables, I also have a constraint, that the sum of the variables must be limited to a certain value.
In scipy I would define it as follows:
How can this be realized with the package?