The Math Forum

Search All of the Math Forum:

Views expressed in these public forums are not endorsed by NCTM or The Math Forum.

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

Notice: We are no longer accepting new posts, but the forums will continue to be readable.

Topic: iteration of Lagarange optimization makes my code very slow
Replies: 5   Last Post: Apr 20, 2011 9:01 AM

Advanced Search

Back to Topic List Back to Topic List Jump to Tree View Jump to Tree View   Messages: [ Previous | Next ]
Wenxu Li

Posts: 11
Registered: 5/13/10
iteration of Lagarange optimization makes my code very slow
Posted: Apr 20, 2011 5:01 AM
  Click to see the message monospaced in plain text Plain Text   Click to reply to this topic Reply


I want to solve an optimization problem stated as follows:
A(t)=a'*B(t)*a; the constraint is A(0)=1;
where A(t) is a scalar at each time point t, a is a vector, B(t) is a square matrix, each element of B(t) is a function of t.

I consider to use the Lagrange method to find the optimal A(t) over a period of time, e.g. from 0 to 300. I built the model as
which can be changed to a generalized eigenvalue problem as
which can be further changed to a form
A(0)^(-1/2)* B(t)*A(0)^(-1/2)*b=lambda*b;
However, in oder to get A(t) over a duration, i.e. 0 to 300, I calculated the largest eigenvalue and corresponding eigenvector at each time step, which is very time consuming.

I am a new comer in this area, I could not find a more efficient way to solve the problem. Can someone suggest me a more efficient way to get A(t)?

Many Thanks

Point your RSS reader here for a feed of the latest messages in this topic.

[Privacy Policy] [Terms of Use]

© The Math Forum at NCTM 1994-2018. All Rights Reserved.