[SciPy-User] optimization routines can not handle infinity values

Jason Rennie jrennie@gmail....
Wed Sep 15 11:48:49 CDT 2010


On Tue, Sep 14, 2010 at 9:55 AM, enrico avventi <eavventi@yahoo.it> wrote:

> Some of the routines (fmin_cg comes to mind) wants to check the gradient at
> points where the objective function is infinite. Clearly in such cases the
> gradient is not defined - i.e the calculations fail - and the algorithm
> terminates.


IIUC, CG requires that the function is smooth, so you can't use CG for your
problem.  I.e. there's nothing wrong with fmin_cg.  You really need a
semidefinite programming solver, such as yalmip or sedumi.  My experience
from ~5 years ago is that SDP solvers only work on relatively small problems
(1000s of variables).

http://en.wikipedia.org/wiki/Semidefinite_programming

Jason

-- 
Jason Rennie
Research Scientist, ITA Software
617-714-2645
http://www.itasoftware.com/
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