Constrained least squares

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JimDN

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Dec 3, 2016, 2:50:26 PM12/3/16
to DDogleg
What should I know about adapting TrustRegionLeastSquares for constraints ?

I've added a constraint function to apply reflection* to the inputs in the process method of FunctionNtoM, and this seems to work, but is there anything I should be aware of ?

* based on https://ecommons.cornell.edu/bitstream/handle/1813/5485/92-110.pdf?sequence=1&isAllowed=y

Peter A

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Dec 7, 2016, 4:51:21 PM12/7/16
to JimDN, DDogleg
I haven't tried the method you linked to to add constraints to DDogleg's unconstrained methods or any method so far.  Just haven't needed to yet.  My only advice is to set up several unit tests and all the possible edge cases you can think of and make sure it converges as expected.  Even if it supported constraints out of the box that would still be a good idea.  Lots of open source projects don't perform as advertised.

It might also be interesting to try quickly coding up some python code with a constrained optimization library and seeing if you get the same results.

- Peter


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