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且构网 - 分享程序员编程开发的那些事

任意约束的R优化

更新时间:2023-11-23 20:27:22

您所指的问题是(假设)使用非线性约束的非线性优化。这是最一般的优化问题之一。

The problem you are referring to is (presumably) a non-linear optimization with non-linear constraints. This is one of the most general optimization problems.

我用于这些目的的包名为 nloptr 请参阅这里。从我的经验,它是多才多艺,快速。您可以通过相应地设置 eval_g_eq eval_g_ineq 来指定等于和不等于constaints。如果明确地知道雅可比(可以从分析得出),则指定它们用于更快的收敛;

The package I have used for these purposes is called nloptr: see here. From my experience, it is both versatile and fast. You can specify both equality and inequality constaints by setting eval_g_eq and eval_g_ineq, correspondingly. If the jacobians are known explicitly (can be derived analytically), specify them for faster convergence; otherwise, a numerical approximation is used.

使用此列表作为优化问题的一般参考。

Use this list as a general reference to optimization problems.