I am currently trying to solve nonlinear constrained minimization problem as implemented in matlab "fmincon" function. My expectations are, minimize(fun1,x0,uB,lB,fun2) where x0 is initial state, fun1 is function that needs to be minimized, uB are upper bounds, lB are lower bounds and fun2 is function that provides vectors of nonlinear equalities/inequalities as described in http://www.mathworks.com/help/optim/ug/fmincon.html as nonlcon function. These vectors are changing through iterations as well (they are non-linearly dependent on x_n, n-th iteration of solution vector). In matlab implementation they are in a form c(x)<=0. This is the last piece of code that need to be ported from matlab to c++ and I ve been struggling a lot while trying to find appropriate c++ library containing this algorithm. This is why I am seeking help here and I would much appreciate if you could provide your expertise.
Good example of what I want to do is first one on this page http://www.mathworks.com/help/optim/ug/constrained-nonlinear-optimization-examples.html#f10960?s_tid=doc_12b Only difference is that I need boundaries as well...
Thanks in advance.