Quadratic Optimization Problem

Beliavsky beliavsky at aol.com
Wed Nov 22 14:38:38 CET 2006


Stefan Behnel wrote:
> amitsoni.1984 at gmail.com wrote:
> > I need to do a quadratic optimization problem in python where the
> > constraints are quadratic and objective function is linear.
> >
> > What are the possible choices to do this.
>
> Too bad these homework assignments get trickier every time, isn't it?

I think this sarcasm is unjustified. It is not obvious to me that this
is a homework assignment.

The problem where constraints are linear and the objective function is
linear (quadratic) is known as linear (quadratic) programming, and
there are specialized codes for these problems. I don't know of
software in any language for the particular problem of a linear
objective function with quadratic constraints, so I would use a general
algorithm for nonlinearly constrained optimization. Maybe CVXOPT
http://www.ee.ucla.edu/~vandenbe/cvxopt/ will work for the OP -- I have
not tried it.

The site http://www.solver.com/probconic.htm calls the problem "conic
optimization".

A good newsgroup to ask about optimization algorithms is
sci.math.num-analysis.




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