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Math Forum » Discussions » Software » comp.soft-sys.matlab

Topic: Non-linear optimization
Replies: 32   Last Post: Mar 8, 2013 2:22 AM

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Matt J

Posts: 4,996
Registered: 11/28/09
Re: Non-linear optimization
Posted: Mar 4, 2013 4:07 PM
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"Toan Cao" <toancv3010@gmail.com> wrote in message <kh2m44$4eh$1@newscl01ah.mathworks.com>...
> Hi everyone,
>
> I have a question relating to non-linear optimization and hope to receive your help!
> If i have a cost function F(x) in general form. I mean it can not be described in the form of F(x)= f(x)'.f(x) (where f(x)' is transposition of f(x) ) as required by some methods such as Levenberg-Marquardt, Gauss-Newton for finding a local minimum value.
> If i want to use above two methods, what should i do ?

===============

If you know a global lower bound on F(x), say F_low, then the minimization problem is equivalent to

min f(x)'.f(x)

where

f(x)=F(x)- f_low

So, you could apply Levenberg-Marquardt and/or Gauss-Newton to the reformulated problem.



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