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Article #430

Minimization question (lin. system subject to inequality constraints)

#430
From: dynaflow
Date: Thu, 13 Aug 1992 16:32
34 lines
1452 bytes
I have the following problem, and not being familiar with 
minimization techniques, am appealing to net gurus for help

I need to solve the linear system 

              A x = b

where A is an NxN matrix 
      x is a N vector,
  and b another N vector,

subject to the constraint that each of the x_i , i=1,..,N are
positive.

The  thing to do seems to be to minimize 

|| Ax -b|| subject to  x_i > 0.


Now the question is how. I cannot formulate the above inequality as an
over-det system for example and use some standard SVD code. 

Having no idea of minimizing with inequality constraints (except some
hazy recollection of the simplex method from my undergraduate classes)
I  am at a loss. 
Any ideas, references, pointers or code would
be appreciated. 

Some more information:
The maximum dimension N is smaller than 40.
The ratio of the max and min. singular values of A is about 10^7.
The matrix is symmetric and guaranteed to be positive definite.

 Thanks in advance
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Message-ID: <1992Aug13.163251.7738@eng.umd.edu>
Path: arc1-ca.pugleaf.net!sparky!uunet!paladin.american.edu!darwin.sura.net!mojo.eng.umd.edu!dynaflow

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Newsgroups: sci.math.num-analysis
Path: arc1-ca.pugleaf.net!sparky!uunet!paladin.american.edu!darwin.sura.net!mojo.eng.umd.edu!dynaflow
From: dynaflow@eng.umd.edu
Subject: Minimization question (lin. system subject to inequality constraints)
Message-ID: <1992Aug13.163251.7738@eng.umd.edu>
Date: Thu, 13 Aug 92 16:32:51 GMT
Organization: University of Maryland, College Park, College of Engineering
Originator: dynaflow@coffee.eng.umd.edu
Lines: 34