Re: Constraint optimization

[Eric S Fraga]

> I am looking for an algorithm that does constraint optimization.  For
> the time being I only require bounds and linear constraints, but it must
> be able to work with optimization for multivariate problems (e.g.
> fmincon).

Maybe have a look at the Matlab functions described by Kelley:

@Book{kelley-1999,
  author = {C. T. Kelley},
  title =  {Iterative methods for optimization},
  publisher = {{SIAM}},
  year = 1999
}

I believe he has made a number of functions available so do a web search.

Alternatively, if your constraints are linear and if your objective function
is well-defined outside the feasible region, incorporated the constraints
directly into a new objective function as part of a penalty function and use
a non-constrainted optimization method.

cheers,
eric

-- 
 Eric S. Fraga, Department of Chemical Engineering, UCL, London
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