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

Enrico Avventi eavventi@yahoo...
Wed Sep 15 15:05:58 CDT 2010


i'm aware of SDP solvers but they handle only linear objective functions
AFAIK.
and the costraints are not the problem. it is just that the function is not
defined everywhere.
i will experiment by changing the line search methods as i think they are
the only
part of the methods that needs to be aware of the domain.

thanx for the help, i will post my eventual findings.

On Wed, Sep 15, 2010 at 6:48 PM, Jason Rennie <jrennie@gmail.com> wrote:

> 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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