Constrained optimization Definition and 8 Discussions

In mathematical optimization, constrained optimization (in some contexts called constraint optimization) is the process of optimizing an objective function with respect to some variables in the presence of constraints on those variables. The objective function is either a cost function or energy function, which is to be minimized, or a reward function or utility function, which is to be maximized. Constraints can be either hard constraints, which set conditions for the variables that are required to be satisfied, or soft constraints, which have some variable values that are penalized in the objective function if, and based on the extent that, the conditions on the variables are not satisfied.

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  1. SilverSoldier

    B Constrained Optimization with the KKT Approach

    I'm reading the book Deep Learning by Ian Goodfellow, Yoshua Bengio, and Aaron Courville, and currently reading this chapter on numerical methods--specifically, the section on constrained optimization. The book states the following. Suppose we wish to minimize a function...
  2. F

    Stationary points classification using definiteness of the Lagrangian

    Hello, I am using the Lagrange multipliers method to find the extremums of ##f(x,y)## subjected to the constraint ##g(x,y)##, an ellipse. So far, I have successfully identified several triplets ##(x^∗,y^∗,λ^∗)## such that each triplet is a stationary point for the Lagrangian: ##\nabla...
  3. F

    Optimization Problem - Dynamic Programming

    Summary:: Hi, this is an exercise from an algorithm course. I have been trying for hours but I have no successful ideas on how to solve it. I can only understand that DP is the correct approach, since Greedy method does not work. Suppose you have *n* friends that wants to give you an amount of...
  4. CrosisBH

    Maximizing the volume of a cylinder

    Note this is in our Lagrangian Mechanics section of Classical Mechanics, so I assume he wants us to use Calculus of Variations to solve it. The surface area is fixed, so that'll be the constraint. Maximizing volume, we need a functional to represent Volume. This was tricky, but my best guess for...
  5. Runei

    I Total Derivative of a Constrained System

    Hi all, I was working on a problem using Euler-Lagrange equations, and I started wondering about the total and partial derivatives. After some fiddling around in equations, I feel like I have confused myself a bit. I'm not a mathematician by training, so there must exist some terminology which...
  6. C

    Is there a worked-out example of L-BFGS / L-BFGS-B?

    I have seen the implementation of L-BFGS-B by authors in Fortran and ports in several languages. I am trying to implement the algorithm on my own. I am having difficulty grasping a few steps. Is there a worked out example using L-BFGS or L-BFGS-B ? Something similar to...
  7. T

    I Dot product constrained optimization

    Problem: Fix some vector ##\vec{a} \in R^n \setminus \vec{0}## and define ##f( \vec{x} ) = \vec{a} \cdot \vec{x}##. Give an expression for the maximum of ##f(\vec{x})## subject to ##||\vec{x}||_2 = 1##. My work: Seems like a lagrange multiplier problem. I have ##\mathcal{L}(\vec{x},\lambda)...
  8. S

    Grouping constrained optimization

    Hi all, I am looking for an efficient solution to solve the following problem. Can anybody help? Assume a set S of elements ki and a set V of possible groupings Gj. A grouping Gj is a subset of S. Associate a weight wij to each mapping ki to Gj. The weights are infinite if ki ⊄ Gj, and finite...