Constrained optimization

sloisel / numeric

Numerical analysis in Javascript

http://www.numericjs.com/

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Constrained optimization #21

Open sloisel opened 11 years ago

sloisel commented 11 years ago

How to implement constrained optimization?

Which algorithm to use? Barrier method?
How much derivative information is needed for constraint function(s)? How to pass constraint function(s)? Is it an Array of functions, or a function returning an Array? (Latter case: is the gradient a Jacobian? Will it need an order 3 Hessian as well? Does not seem reasonable since the penalty function ends up being scalar-valued.)
How competitive should it be compared to numeric.solveLP, when used on a linear program?
What is a suitable battery of tests for this? This is important, untested optimization programs usually don't work.

albertosantini commented 11 years ago

Hey @sloisel.

I developed a module for solving quadratic programming problems with constraints: https://github.com/albertosantini/node-quadprog

Hope that helps and available to changes, Alberto

sloisel commented 11 years ago

Dear Alberto,

Thanks for your note. Your program is already included in numeric.js!

Thanks,

Sébastien Loisel

albertosantini commented 11 years ago

I see... Thanks for the reference.

I didn't implement the lagrangian, but it is matter of a few lines of code, just in case. I will link numericjs in quadprog readme.

Regards, Alberto

sloisel commented 11 years ago

Hi,

Yes, I have included your License in the resources/ subfolder. I've slightly patched quadprog.js but otherwise left it untouched. I have also mentioned that you did this in the documentation.

Thanks,

Sébastien Loisel

albertosantini commented 8 years ago

Please, update to 1.4.0 (available in a few hours), because I fixed an important bug in the constraints and added input arguments validation.

Please, update also, LICENSE.quadprog in resources, because I removed the email address for the spam.

Available to any change, if you think there is a better way to include quadprog in numeric without copy&paste (more changes) when the package is updated.