[SciPy-User] optimization routines can not handle infinity values
Wed Sep 15 11:48:49 CDT 2010
On Tue, Sep 14, 2010 at 9:55 AM, enrico avventi <email@example.com> 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
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).
Research Scientist, ITA Software
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