C# Class Accord.Math.Optimization.AugmentedLagrangian

Augmented Lagrangian method for constrained non-linear optimization.

Inheritance: BaseGradientOptimizationMethod, IGradientOptimizationMethod

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.

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

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

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

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

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

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

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

protected Optimize ( ) : bool
return	bool