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Questions tagged [nonlinear-optimization]

sub-field of mathematical optimization (alternatively, mathematical programming) that deals with problems that are not linear

Nonlinear programming

From Wikipedia, the free encyclopedia

In mathematics, nonlinear programming is the process of solving an optimization problem defined by a system of equalities and inequalities, collectively termed constraints, over a set of unknown real variables, along with an objective function to be maximized or minimized, where some of the constraints or the objective function are nonlinear.

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Maximize Sharpe's ratio using scipy.minimze

I'm trying to maximize Sharpe's ratio using scipy.minimize I do this for finding CAPM's Security Market Line So I have an equation: Optional (if short positions is not allowed): So I'm trying solve this: def target_func(x, cov_matix,…
Gcinbax
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Nonlinear regression with sampling weights (package survey)

I would like to estimate the coefficients of a nonlinear model with a binary dependent variable. The nonlinearity arises because two regressors, A and B, depend on a subset of the dataset and on the two parameters lambda1 and lambda2 respectively: y…
Ale
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How to pass additional arguments to scipy.optimize.newton_krylov?

So I'm trying to find "k" which satisfies the equation F(k,u,v,w) = 0 and u, v, and w are extra parameters. I've been trying to solve it using newton_krylov…
James Urban
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NLopt SLSQP discards good solution in favour of older, worse solution

I'm solving a standard optimisation problem from Finance - portfolio optimisation. The vast majority of the time, NLopt is returning a sensible solution. However, on rare occasions, the SLSQP algorithm appears to iterate to the correct solution, and…
Colin T Bowers
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GRG Non linear constraint solver for iOS suggestions

Can any one suggest equivalent iOS SDK similar to GRG Non-linear solver in Excel ? Which can be a c/c++ solution and can be easily integrated into iOS i.e to solves non-linear equations similar to EXCEL GRG Non linear Solver. Please advice.
Kiran
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Solve systems of non-linear equations in R / Black-Scholes-Merton Model

I am writing my masters thesis and I got stuck with this problem in my R code. Mathematically, I want to solve this system of non-linear equations with the R-package “nleqslv”: fnewton <- function(x){ y <- numeric(2) d1 =…
schloni
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Nonlinear optimization C

I would like to perform a non-linear optimization algorithm using C. The problem is: over the five points that are in vector X. X, Y(X), lower and upper bounds are known. I have found the nlopt library on C but I do not know if It is possible to…
yooyle
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Generalized Reduced Gradient algorithm in C

I am working on some science project and I need the C language implementation of Generalized Reduced Gradient algorithm for non-linear optimization. Is there any library or just a piece of code for that? Or, please suggest any other solution for…
darko_5
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Maximum efficiency

Maximum efficiency problem The are N cities and there is a wanderer. The time it takes for him to go from a town to another town is known - Txy (from town x to town y). From any town he can go to any other town so it is a complete graph. In each…
Andrei Susanu
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Cost functional calculation for global optimization in CUDA

I am trying to optimize a function (say find the minimum) with n parameters (Xn). All Xi's are bound to a certain range (for example -200 to 200) and if any parameter leaves this range, the function goes to infinity very fast. However, n can be…
Violin Yanev
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How to make a function of variable arity in Erlang?

I have an algorithm that finds the minimum of function/n on Rn. And I have a constrain manifold, that is given in a form of singular cube image. Mapping singular cube inner space to Rn and more importantly vice versa is quite trivial and can be done…
akalenuk
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Getting solution as nan for mixed integer non linear programming problem with objective function as a fraction

I wanted to maximize gross profit margin (total profit/total revenue) with binary variables, say whether products will be in the mix or not by that variables will be 1 or 0 (binary), trying to solve with gekko mixed integer non linear…
soumyajt
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Does anyone see where the error in the following GEKKO-IPOPT nonlinear optimization problem is?

In my code, I get the following error when running: Exception: @error: Equation Definition Equation without an equality (=) or inequality (>,<) ((((((((((-cos(v4)))*(sin(v5)))-((((sin(v4))*(cos(v5))))*(cos(v3)))))*(((sqrt(( …
pbhuter
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Dispatch Optimization Problem Using Gekko Cannot Find Solution for Certain Demand Values

I am new to gekko and have been using it to create a plant dispatch scheduler program. The code takes demand values, and schedules the plants while at the same time satisfying the constraints such as dispatch range of each plant, switching states,…
teemotheee
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How do you constrain more than 10 variables at a time using Mystic?

I'm trying to constrain an overall budget using mystic, where each individual x has an associated function that is ultimately being maximized. I have set bounds such that each individual spend can only go up or down at a maximum of 30%. I am not…
JBrack
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