Drexel dragonThe Math ForumDonate to the Math Forum



Search All of the Math Forum:

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


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

Topic: Segmented Optimization
Replies: 4   Last Post: Jul 30, 2012 3:35 PM

Advanced Search

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

Posts: 33
Registered: 10/4/11
Segmented Optimization
Posted: Jul 29, 2012 10:33 PM
  Click to see the message monospaced in plain text Plain Text   Click to reply to this topic Reply

Hi MATLABers,

I am performing a least-squares, non-linear constrained optimization problem with the following structure:

Called the summands (whose sum of squares I want to minimize) DQ_i. One parameter, theta, affects all the DQ_i. For a given theta, the constraints uniquely determine the rest of the parameters. Further, the constraints are segmented so I could solve for different chunks of the parameters separately (given theta). However, any solution would be numeric.

So I could structure the problem in two ways:

1) Frame it as a nested optimization problem. Pick a theta, solve the smaller problems in chunks, calculate the objective function, and repeat.

2) Put all the parameters together and solve it as one big, constrained problem.

Which approach is more advisable? 2) seems cleaner from a MATLAB coding perspective since if the constraint-solving fails even once, it will derail the whole problem. But 1) seems potentially faster as I never have too many variables to solve for at once.

Thoughts?

Cory



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

[Privacy Policy] [Terms of Use]

© Drexel University 1994-2014. All Rights Reserved.
The Math Forum is a research and educational enterprise of the Drexel University School of Education.