Re: [Dclib-devel] constrained Optimization

[Davis K. <dav...@us...>]

Most of the solvers in dlib are unconstrained solvers.  There are a few
special purpose solvers for certain kinds of very specific constrained
problems, but those probably aren't what you are looking for.  However, for
a reasonable number of problems it's straight forward to use an
unconstrained solver such as BFGS to solve a constrained problem.  The
simplest method is the penalty method.  Essentially, you add a penalty term
to your objective function that is something like lambda*pow(
how_much_constraint_is_violated, 2.0).  Then you solve the augmented
objective function for a small value of lambda.  Then, you make lambda
bigger and call the solver again, this time starting from the location of
the previous solution.  In this way, you can avoid numerical problems
because the penalty term never gets very large even though lambda can grow
to a huge value.

There are other general constrained optimization methods.  My understanding
is that the best general purpose solvers for constrained problems are the
sequential quadratic programming methods.  That isn't in dlib, but there
are free tools available on the internet.  I haven't used any of them
myself though so I don't know which ones are easiest to use and so forth.

I'm not sure I understand your second question.  If you want to do a
non-linear regression then there are RBF kernel methods in dlib that you
can use.  But if you want to do something very special purpose then I'm not
sure.

Cheers,
Davis


On Mon, Jan 21, 2013 at 7:03 AM, milind d <mil...@gm...> wrote:

> hi,
>    i really liked dlib, I have questions related to 2 topics, one is i
> tried the optimization class example, I want to use BFGS algorithm, but i
> didnot see anything for constrained optimization, so is it possible to use
> dlib for constrained optimization  I understand i can augment my objective
> function with constrained, but i guess it can have ill posed problems, can
> you give any idea on this.
>            Also away from this topic i had one more question related to
> Radial Basis Function, Actually I want to do a shape optimization
> using Computational fluid Dynamics, so hence my question is can i use the
> Radial Basis kernel in dlib to deform my mesh. please let me know if you
> have any examples if possible.
>
> Thank you
>
> --
> Milind Dhake
> Engineering Mechanics Unit
> Jawaharlal Nehru Centre for Advanced Scientific Research
> Bangalore
>
>
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