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Opened 14 years ago

Closed 13 years ago

#1083 closed task (fixed)

Optimización con restricciones de desigualdad lineal sparse

Reported by: Víctor de Buen Remiro Owned by: Víctor de Buen Remiro
Priority: high Milestone: Numerical methods
Component: Math Version:
Severity: major Keywords:
Cc:

Description (last modified by Víctor de Buen Remiro)

Es necesario contar con un sistema de optimización con restricciones de desigualdad lineal sparse.

\min f\left(x\right)

Sujeto a

A x \ge a

x\in\mathbb{R}^{n}

a\in\mathbb{R}^{r}

A\in\mathbb{R}^{r\times n}

Concretamente es necesario resolver problemas de programación cuadrática

\min x^T C x + c^T x

Sujeto a

A x \ge a

y en particular el problema de mínimos residuos

\min e^T e

Sujeto a

e = y - B x

A x \ge a

B\in\mathbb{R}^{m \times n}

y\in\mathbb{R}^{m }

El principal motivo es dar un punto inicial interior en la simulación de modelos bayesianos en general y de BSR en particular.

Change History (9)

comment:1 Changed 14 years ago by Víctor de Buen Remiro

Description: modified (diff)
Status: new → accepted

comment:2 Changed 14 years ago by Víctor de Buen Remiro

Description: modified (diff)

comment:3 Changed 14 years ago by Víctor de Buen Remiro

(In [3123]) Refs #1083

comment:4 Changed 14 years ago by Víctor de Buen Remiro

Priority: highest → high
Severity: blocker → major

comment:5 Changed 14 years ago by Víctor de Buen Remiro

Resolution: → fixed
Status: accepted → closed

comment:6 Changed 13 years ago by Víctor de Buen Remiro

Resolution: fixed
Status: closed → reopened

Es necesario que l punto sea estrictamente interior, no sirve que esté en la frontera

comment:7 Changed 13 years ago by Víctor de Buen Remiro

(In [3841]) Refs #1083
Modifying border to force interior point

comment:8 Changed 13 years ago by Víctor de Buen Remiro

(In [3843]) Refs #1083

comment:9 Changed 13 years ago by Víctor de Buen Remiro

Resolution: → fixed
Status: reopened → closed
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