[math] Re: Sequential Quadratic Programming

[Luc Maisonobe <Lu...@free.fr>]

Hi Michael,

First of all, please add a [math] marker in the subject line when
posting to this list concernin the commons-math component. The list is
shared among a large number of components and such markers help filtering.

Le 09/09/2010 04:00, Michael Stover a écrit :
> I am not a mathematician, but I write software for a bunch of them, so
> forgive me my limited knowledge of the math and math terms...
> 
> I need to implement a solution that is estimating the optimal values for
> several parameters.  I have an objective function and starting points and
> all that.  The code I have to rewrite currently is using a method called
> "SQP", or Sequential Quadratic Programming (actually, a special version of
> it called DESQP - Differential Equation Sequential Quadratic Programming).
>  Supposedly such a function exists in R, but I do not know where to find it,
> and I was looking through Apache Math Commons for the equivalent solution,
> but I am not sure what it would be, as the names of the optimizers seem to
> be following a different nomenclature.
> 
> Can anyone tell me whether one can optimize/estimate using SQP with Apache
> Math Commons, and some pointers on how to get started?

Unfortunately, there are no SQP methods available in commons-math yet
(patches welcome!). The only constrained optimization methods we have
are limited to linear problems and linear constraints. The optimization
methods we have for non-linear problems do not handle constraints yet.

Luc

> 
> -Mike
> 


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Re: [math] Re: Sequential Quadratic Programming

[Luc Maisonobe <Lu...@free.fr>]

Le 09/09/2010 15:12, Michael Stover a écrit :
> Thank you for your answer, Luc!
> 
> Do you know of any open-source implementations of SQP solvers?

Not directly. A quick web search lead me to hqp
<http://sourceforge.net/projects/hqp/> ? It seems to be written in C++
and distributed under the terms of the GPL. I have no experience at all
with this project.

Luc

> 
> Mike
> 
> On Thu, Sep 9, 2010 at 5:36 AM, Luc Maisonobe <Lu...@free.fr> wrote:
> 
>> Hi Michael,
>>
>> First of all, please add a [math] marker in the subject line when
>> posting to this list concernin the commons-math component. The list is
>> shared among a large number of components and such markers help filtering.
>>
>> Le 09/09/2010 04:00, Michael Stover a écrit :
>>> I am not a mathematician, but I write software for a bunch of them, so
>>> forgive me my limited knowledge of the math and math terms...
>>>
>>> I need to implement a solution that is estimating the optimal values for
>>> several parameters.  I have an objective function and starting points and
>>> all that.  The code I have to rewrite currently is using a method called
>>> "SQP", or Sequential Quadratic Programming (actually, a special version
>> of
>>> it called DESQP - Differential Equation Sequential Quadratic
>> Programming).
>>>  Supposedly such a function exists in R, but I do not know where to find
>> it,
>>> and I was looking through Apache Math Commons for the equivalent
>> solution,
>>> but I am not sure what it would be, as the names of the optimizers seem
>> to
>>> be following a different nomenclature.
>>>
>>> Can anyone tell me whether one can optimize/estimate using SQP with
>> Apache
>>> Math Commons, and some pointers on how to get started?
>>
>> Unfortunately, there are no SQP methods available in commons-math yet
>> (patches welcome!). The only constrained optimization methods we have
>> are limited to linear problems and linear constraints. The optimization
>> methods we have for non-linear problems do not handle constraints yet.
>>
>> Luc
>>
>>>
>>> -Mike
>>>
>>
>>
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>> To unsubscribe, e-mail: user-unsubscribe@commons.apache.org
>> For additional commands, e-mail: user-help@commons.apache.org
>>
>>
> 


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Re: [math] Re: Sequential Quadratic Programming

[Michael Stover <mi...@gmail.com>]

Thank you for your answer, Luc!

Do you know of any open-source implementations of SQP solvers?

Mike

On Thu, Sep 9, 2010 at 5:36 AM, Luc Maisonobe <Lu...@free.fr> wrote:

> Hi Michael,
>
> First of all, please add a [math] marker in the subject line when
> posting to this list concernin the commons-math component. The list is
> shared among a large number of components and such markers help filtering.
>
> Le 09/09/2010 04:00, Michael Stover a écrit :
> > I am not a mathematician, but I write software for a bunch of them, so
> > forgive me my limited knowledge of the math and math terms...
> >
> > I need to implement a solution that is estimating the optimal values for
> > several parameters.  I have an objective function and starting points and
> > all that.  The code I have to rewrite currently is using a method called
> > "SQP", or Sequential Quadratic Programming (actually, a special version
> of
> > it called DESQP - Differential Equation Sequential Quadratic
> Programming).
> >  Supposedly such a function exists in R, but I do not know where to find
> it,
> > and I was looking through Apache Math Commons for the equivalent
> solution,
> > but I am not sure what it would be, as the names of the optimizers seem
> to
> > be following a different nomenclature.
> >
> > Can anyone tell me whether one can optimize/estimate using SQP with
> Apache
> > Math Commons, and some pointers on how to get started?
>
> Unfortunately, there are no SQP methods available in commons-math yet
> (patches welcome!). The only constrained optimization methods we have
> are limited to linear problems and linear constraints. The optimization
> methods we have for non-linear problems do not handle constraints yet.
>
> Luc
>
> >
> > -Mike
> >
>
>
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> To unsubscribe, e-mail: user-unsubscribe@commons.apache.org
> For additional commands, e-mail: user-help@commons.apache.org
>
>