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Article #430Minimization question (lin. system subject to inequality constraints)
From: dynaflow
Date: Thu, 13 Aug 1992 16:32
Date: Thu, 13 Aug 1992 16:32
34 lines
1452 bytes
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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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