[math] Re: Linear Programming

[lu...@free.fr]

Han Chee Chew  NCS <cc...@ncs.com.sg> wrote:

> I'm looking for a java linear programming solution and come across
> Jakarta common.math library. Please see attached for my problem
> description. Need advise whether Nelder-Mead Method can be used to
> resolve such problem. Appreciate any assistance and thanks in advance

Nelder-Mead cannot directly solve this kind of problems. It is aimed towards
unconstrained problems.

One possible way is to reformulate the problem as an unconstrained one. This can
sometimes be done by using other variables to handle simple boundary constraints
and penalty functions to handle other contraints. After this change has been
made, you can use Nelder-Mead on the modified problem and later transform the
solution of the modified problem to get the solution of your initial problem.
Nelder-Mead is quite robust to some changes of this kind (for example it doesn't
break on non-smooth cost functions), but it really depends on the problem (I
didn't look at your problem closely, though).

There is currently no implementation of constrained optimizer in commons-math. I
hope we will implement one in the future.

Luc


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