C# Class Accord.Math.Optimization.AugmentedLagrangian

Augmented Lagrangian method for constrained non-linear optimization.

References: Steven G. Johnson, The NLopt nonlinear-optimization package, http://ab-initio.mit.edu/nlopt E. G. Birgin and J. M. Martinez, "Improving ultimate convergence of an augmented Lagrangian method," Optimization Methods and Software vol. 23, no. 2, p. 177-195 (2008).

Inheritance: BaseGradientOptimizationMethod, IGradientOptimizationMethod
Show file Open project: accord-net/framework Class Usage Examples

Public Methods

Method Description
AugmentedLagrangian ( IGradientOptimizationMethod innerSolver, IEnumerable constraints ) : System

Creates a new instance of the Augmented Lagrangian algorithm.
AugmentedLagrangian ( IGradientOptimizationMethod innerSolver, NonlinearObjectiveFunction function, IEnumerable constraints ) : System

Creates a new instance of the Augmented Lagrangian algorithm.
AugmentedLagrangian ( NonlinearObjectiveFunction function, IEnumerable constraints ) : System

Creates a new instance of the Augmented Lagrangian algorithm.
AugmentedLagrangian ( int numberOfVariables, IEnumerable constraints ) : System

Creates a new instance of the Augmented Lagrangian algorithm.

Protected Methods

Method Description
Optimize ( ) : bool

Implements the actual optimization algorithm. This method should try to minimize the objective function.

Private Methods

Method Description
init ( NonlinearObjectiveFunction function, IEnumerable constraints, IGradientOptimizationMethod innerSolver ) : void
objectiveFunction ( double x ) : double
objectiveGradient ( double x ) : double[]
relstop ( double vold, double vnew, double reltol, double abstol ) : bool

Method Details

AugmentedLagrangian() public method

Creates a new instance of the Augmented Lagrangian algorithm.
public AugmentedLagrangian ( IGradientOptimizationMethod innerSolver, IEnumerable constraints ) : System
innerSolver IGradientOptimizationMethod The unconstrained /// optimization method used internally to solve the dual of this optimization /// problem.
constraints IEnumerable /// The s to which the solution must be subjected.
return System

AugmentedLagrangian() public method

Creates a new instance of the Augmented Lagrangian algorithm.
public AugmentedLagrangian ( IGradientOptimizationMethod innerSolver, NonlinearObjectiveFunction function, IEnumerable constraints ) : System
innerSolver IGradientOptimizationMethod The unconstrained /// optimization method used internally to solve the dual of this optimization /// problem.
function NonlinearObjectiveFunction The objective function to be optimized.
constraints IEnumerable /// The s to which the solution must be subjected.
return System

AugmentedLagrangian() public method

Creates a new instance of the Augmented Lagrangian algorithm.
public AugmentedLagrangian ( NonlinearObjectiveFunction function, IEnumerable constraints ) : System
function NonlinearObjectiveFunction The objective function to be optimized.
constraints IEnumerable /// The s to which the solution must be subjected.
return System

AugmentedLagrangian() public method

Creates a new instance of the Augmented Lagrangian algorithm.
public AugmentedLagrangian ( int numberOfVariables, IEnumerable constraints ) : System
numberOfVariables int The number of free parameters in the optimization problem.
constraints IEnumerable /// The s to which the solution must be subjected.
return System

Optimize() protected method

Implements the actual optimization algorithm. This method should try to minimize the objective function.
protected Optimize ( ) : bool
return bool