Nonlinear programming is the constrained optimization (minimization, maximization) of nonlinear functions.

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How to efficently solve: min $\sum_{ij}(a_{ij}x_{ij}^2 + b_{ij}x_{ij})$ s.t

I am trying to solve the following problem, where $a_{ij} \ge 0 \ \forall i,j$: \begin{align} \mbox{minimize}\quad & \sum_{i=1}^m\sum_{j=1}^n (a_{ij}x_{ij}^2 + b_{ij}x_{ij})\\ \mbox{subject ...
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Software Implementing Jiles-Atherton

I have been doing much research on the internet to see if there was a FEM simulator that natively implemented the Jiles-Artherton model whether it be commercial or open source So far, my conclusion ...
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Sum of Inverse of Variables in an Optimization Problem

I have the following optimization problem: $$ \begin{array}{ll} \text{Minimize} & \frac{1}{x_1} + \frac{1}{x_2} + \ldots + \frac{1}{d_n} \\ \text{Subject to} & A x \leq b \end{array} $$ where ...
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Is there a constrained nonlinear optimization library like IPOPT that runs on GPUs?

Somebody on my team wants to paralelize IPOPT. (at least some of functions of it). I have not been able to find a GPU implementation of it or a similar package. Nor I've found anything on their docs. ...
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Find constrained vectors maximizing angles between them - methods?

This is related to a question I had asked earlier, with the distinction that earlier I did not have a non-linear objective functional to minimize. The problem is reproduced below with added ...
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46 views

Symmetric nonnegative matrix factorization

Suppose $A\in\mathbb{R}_+^{n\times n}$ is symmetric. I would like to factorize $A\approx UU^\top$ by solving $$ \begin{array}{rl} \min_U & \sum_{ij} ...
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59 views

Oscillating convergence in my Resilient BackPropagation (RPROP) implementation

I have implemented in matlab a neural network that uses rprop's algorithm to update its weights. Strangely the error on the training set does not converge to a local minimum, but oscillates. Here is ...
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40 views

Nonlinear global optimization involving eigen-decomposition

I am trying to globally optimize a nonlinear (and nonconvex) objective function $\sum(\vec{Y}-g(\vec{\theta},\vec{X}))^2$ (regression) subject to some linear constrains ($\theta_{1,..,i} \ge 0$, ...
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non convex, non linear optimization involving matrix differential equation solution

I'm trying to develop an inferential procedure for a multivariate dependent Markov process. Basically, the procedure could be considered as a non linear regression, with a known dependence structure ...
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82 views

How can I solve a nonlinear optimization problem where constraint contains exponential term?

I have the optimization problem as below: $$\begin{align} &\text{maximize } \sum_{k=1}^{M} \alpha_k {R}_k\\ &\text{subject to: } \exp \left[ - (2^{{R}_k } -1) \left(\frac{\tilde{Z} g_{k} ...
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33 views

“Tunneling” optimization algorithm in Matlab

I was wondering if someone has implemented the "Tunneling algorithm" for the global minimization of a single variable function in Matlab. I am hoping to implement it on $[B, A - \lambda I]$. Where ...
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75 views

what is the upper bound of $\max \mathbf{w}^T\mathbf{x}_i$

I need to find an equation for the upper bound of $\max \mathbf{w}^T\mathbf{x}_i, \; i=1, \dots N$. where $\mathbf{w}$ and $\mathbf{x}_i$ are two vectors. I need to find a function $f$ which holds ...
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78 views

minimization of normalized constrained quadratic function

I'm a computer science student. Please I need a help in solving a constrained normalized quadratic function. I'm familiar with solving quadratic constrained optimization function with matlab by ...
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162 views

Direct multiple shooting (numerical optimal control)

please, Iam currently implementing direct multiple shooting method* and I need one simple but fundamental concept answered: When I want to provide not only objective funtion value (result of ODE ...
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170 views

Optimization with matrix determinant as constraint

I'm solving a constrained optimization for matrix $\mathbf{A}$ with dimension 6x6, where one of the constraints is $\mathrm{det}(\mathbf{A})>0$. I use the NLopt package to solve my problem and ...
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136 views

Find $\min \sum_{1\le i\le n} x_i\mathbf{z}^T\mathbf{A}\mathbf{y}_i +\mathbf{b}^T\mathbf{x} +\cdots$

I have been stuck at this problem for a while :( Given $\mathbf{A}\in\mathbb{R}^{p\times p}, \mathbf{A}\ge 0,\mathbf{A} \text{ symmetric}, \mathbf{b}\in\mathbb{R}^n,\mathbf{c}_i\in\mathbb{R}^p\forall ...
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comparing different practical convex optimization algorithms

I am trying to implement limited memory bundle method on piece-wise linear convex optimization problem (with dimension=5000) in c++, however, it seems limited memory bundle method code is not ...
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110 views

Dealing with errors in non-linear least square problem

I am currently working with a optimization problem involving a non-linear least square problem. I have chosen to use lsqnonlin in Matlab. What follows is a ...
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54 views

Solving nonlinear optimization problem with combinational constraints

I have to minimize a nonlinear objective function $f(x_0, x_1, x_2, x_3, x_4, x_5)$ with 6 variables. The constraints governing these these variables are a mix of nonlinear inequality constraints, ...
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77 views

Is there general algorithms to solve such 3D cutting problems?

Suppose a cuboid $\mathbb{A}$ has $L$,$M$ and $N$ as its length, width and height respectively, where $L\ge{M}\ge{N}>0$; Now we want to cut $\mathbb{A}$ into smaller cuboids with length $x$, width ...
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75 views

Constraint containing 'max' in linear program unnecessary?

The problem that I'm trying to solve is as follows. A server has at its disposal a pool of video encoders (each encoder has different settings and causes a different load on the server) that can be ...
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81 views

Mac/Xcode/C++ connect with GAMS

Basically, I failed to trying to implement individual global MINLP solvers (alphaBB, ANTIGONE, BARON, Couenne, LindoAPI, and SCIP) in C++/Xcode/Mac system. On the other hand, I realize that GAMS ...
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87 views

GAMS solvers: which one to use

The other day I had a discussion with a friend about the GAMS solvers and we were wondering what are the mathematical differences between the solvers. Which one to use for which kind of problem? How ...
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Find $\min x^TAy$ subject to $1^Tx=1^Ty=1,x\ge 0,y\ge 0$

In the following problem, $A$ is a given $\mathbb{R}^{m\times n}$ matrix: \begin{align} \mbox{minimize}\quad & x^TAy \\ \mbox{subject to}\quad & 1^Tx=1^Ty=1, \\ & x\ge 0,y\ge 0. ...
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101 views

Piecewise linear optimization with resource allocation constraints

I have this problem: \begin{align} \min_{\mathbf{w}} & \sum_{i=1}^N c_i P_i(w_i)\\ s.t & \notag\\ & \sum_{i =1 }^N w_i = w \\ & 0 \leq w_i \leq w_{max},~~\forall i \in 1, ..., N ...
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117 views

Methods for Constrained Optimization Problems with Box Constraints

Consider this problem: \begin{equation} \begin{array}{ll} \text{minimize } & f(x) \\ \text{subject to } & a \leq x \leq b \end{array} \end{equation} where $a,b,x \in ...
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Large-scale nonlinear optimization problem

I want to solve a nonlinear optimization problem of the following form \begin{equation} min( \sum_i d^{x_i}c_{i})\\ 0 \leq x_{i} \leq a\\ \sum_{i} x_{i} \leq b \end{equation} $a$, $b$, $0.95 < d ...
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84 views

fitting a non-linear curve

I have an equation: $\ddot{x}+(\delta+\epsilon\cos{t})x=0$ known as the Mathieu equation.The $\delta-\epsilon$ parameter space of this equation looks something like The red lines in this diagram ...
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Does the amount of correlation of model parameters matter for nonlinear optimizers?

I am using nonlinear optimizers such as BOBYQA to train a model with 10-20 parameters. It so happens that some of the parameters have high correlation. Roughly speaking, imagine that you are fitting ...
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How to solve this optimization problem with abs object function?

Helo, every one. May I ask for help about how to solve this problem. $\begin{align} & \text{max}_{x_i} \quad |\sum_{i=1}^{4} a_i x_i | \\ & s.t. \quad \sum_{i=1}^4 x_i^2=1 \end{align} $ ...
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0,1 binary polynomial programming

Is there a mathematical optimization branch that explicitly tries to optimize this (type) problem? $$\eqalign{ & \min \cr & \sum\limits_{i = 1}^N {(J*s[i] + {J_1}*s[i]*s[i + 1] + ...
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148 views

Generating start point in a systematic manner for fmincon

I'm trying to generate start points for my optimization problem in Matlab. At this point Im not worried about feasibility but only a fast way to generate the points from which I could test the ...
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Generating Hessian of the Lagrangian with dynamic number of nonlinear constraints in Fmincon

I'm using interior point algorithm for solving a nonlinear optimization problem and want to provide Hessian of the Lagrangian as part of fmincon to speed up the process (running couple of thousand ...
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98 views

A separable nonnegative quadratic program

I have spent quite some time trying to solve the following quadratic program: $$\min \sum_{i=1}^n (\frac{1}{2}x_i^TQx_i+c_i^Tx_i), \quad \mathrm{s.t. } \quad x_i\ge 0 \quad \forall i,$$ where $n$ is ...
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Why is SQP better than Augmented Lagrangian for nonlinear programming?

In the technical report on Galahad[1], the authors state, in the context of general nonlinear programming problems, To our minds, there had never really been much doubt that SQP [sequential ...
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68 views

Marginal values for non linear optimisation using SNOPT

I am currently solving a Non Linear modell in GAMS and I am interested in a sensitivity analysis of the results. When working with a linear program I am able to look at the marginal values for the ...
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435 views

CPLEX claims to have solved QP minimisation but solution is not optimal

I am trying to solve a small QP problem in CPLEX. The problem has several linear constraints. The optimiser runs and finds a solution which satisfies these constraints and CPLEX returns a success ...
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Is there guaranteed global solver for such an eigenvalue problem?

The original nonlinear optimization problem I have is as follows: For constant symmetric matrices $A=A^T, B_i=B_i^T(\forall i\in\mathbb{N}) \in \mathbb{R}^{n\times n}, \text{rank}(A)=n,$ ...
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Optimization for differential and nonlinear system [closed]

I want to minimize a cost function for a differential-nonlinear system (dynamic). Is it possible to use this software? How can I do it? Best regards, Haniye
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Tikhonov regularization in the non-negative least square - NNLS (python:scipy)

I am working on a project that I need to add a regularization into the NNLS algorithm. Is there a way to add the Tikhonov regularization into the NNLS implementation of scipy [1]? [2] talks about it, ...
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98 views

Nonconvex Optimization

Consider the following optimization problem: $\text{max}_{p} \quad ||p||^2 \\ s.t: x\geq 0\\ p\in D$ where $D$ is a convex set. Is this problem $\mathcal{NP}$-hard?
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How to solve nonlinear optimization with constraints that have singular jacobian

I'm solving a nonlinear constrained optimization with constraint of following form: $$\mathbf{A}^T\mathbf{A}-\mathbf{I}=\mathbf{0}, \mathbf{B}^T\mathbf{B}-\mathbf{I}=\mathbf{0}$$ where $\mathbf{A}$ ...
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Affect of approximating a non-differentiable function on optimisation of minimisation

I am looking at a problem of constrained minimization, where the function to be minimized contains the Heaviside function, and as such is not twice continuously differentiable. My question is what ...
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constrained minimization in N dimensions

I am looking to create an algorithm to minimize an N dimensional problem. I am unsure how to write it in its generic form, so I will show it in 1, 2 and 3 dimensions Minimize $ \sum_{i} x_i\left [ ...
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Excluding roots from a system of nonlinear equations

I have a system of nonlinear equations of which I know it has a single root I am interested in, and has a continuum of roots I am not interested in. I am currently using Newton with line-searching in ...
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298 views

Some questions about MINPACK usage and messages

I am trying to use the nonlinear fitting routines of MINPACK for fitting a rather complicated equation of state to a set of experimental data. A subset of the data is fitted fairly well to a ...
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900 views

linear independence constraint qualification: what to do when they don't hold?

I want to solve a general nonlinear constrained optimization problem $$\min_q\ f(q)\quad \textrm{s.t.}\quad g_i(q) = 0,\ h_j(q) \geq 0.$$ The problem is that while the equality constraints $g_i(q)$ ...
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664 views

Intuitive motivation for BFGS update

I am teaching a numerical analysis survey class and am seeking motivation for the BFGS method for students with limited background/intuition in optimization! While I don't have time to prove ...
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75 views

What is the efficient way to solve this nonlinear programming problem

The objective function are kinds of indication function: f(x)=1, if x=1, f(x)=0, otherwise, Objective function is : max f(x1)+f(x2)+...f(xk) The constraint condition are linear, and it may be ...
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871 views

How to solve a Rayleigh-quotient-like minimization with inequality constraints

What I am trying to solve is the following Rayleigh-quotient-like minimization: \begin{eqnarray} \begin{split} (P_0)\quad\min_x \frac{\left( Ax - b\right)^\top \left( Ax - b\right)}{x^\top x}\\ s.t. ...