Thread: Constrained Optimization Problem - Software that will do it?

Hello,

I have a problem with a few hundred variables, which have non-linear relationships, and constraints on their possible values. I'm wanting to set these up in an optimization framework to solve their values.

Conceptually it's all done -in my head - but I'm not confident that Excel 2010 & my awesome computer are enough to get this one done. Also, I don't have a way to split the problem.

Would you please recommend a free/open-source program or a technique in Excel that will allow me to put this one to bed? I'm in search of something quick and effective today, so I can't learn any programming languages or do this one by hand.

Any suggestions from your experience appreciated!

William

Originally Posted by Will57

Hello,

I have a problem with a few hundred variables, which have non-linear relationships, and constraints on their possible values. I'm wanting to set these up in an optimization framework to solve their values.

Conceptually it's all done -in my head - but I'm not confident that Excel 2010 & my awesome computer are enough to get this one done. Also, I don't have a way to split the problem.

Would you please recommend a free/open-source program or a technique in Excel that will allow me to put this one to bed? I'm in search of something quick and effective today, so I can't learn any programming languages or do this one by hand.

Any suggestions from your experience appreciated!

William

The Excel solver is not up to a non-linear constrained optimisation problem with several hundred variables. You will probably need a technique like simulated annealing or genetic algorithms if there are no further special features of your problem (use Google to search for appropriate software, there may be tools available in Matlab or Octave to help you).

CB