Applying Lagrange Multipliers to Optimization with Binary Variables

[Angelos K]

Dear all,

I have an optimization problem with boundary conditions, the type that is usually solved with Lagrange multipliers. But the (many) variables my function depends on can take only the values 0 and 1. Does anyone know how to apply Lagrange multipliers in this case?

I am a physicist, so my background is not the widest.

Thank you in advance!

 

[pmsrw3]

Well, you can't use Lagrange multipliers. Presumably there are too many variables to use exhaustive search, i.e. trying all 2ⁿ possibilities. In that case one possible solution is to use a Monte Carlo method such as http://en.wikipedia.org/wiki/Simulated_annealing" .