About
JOptimizer is an open source library implemented in pure java
programming language that addresses the problem of solving a minimization with
equality and inequality constraints,
minimizex f0(x) s.t.
fi(x)≤0, i=1,...,m
Ax=b,
where f0,...,fm: Rn→R are convex
and twice continuously differentiable multivariate real functions, and A ∈
RpXn with rankA = p < n. This is given the name of
convex optimization and, for example, LP, QP, QCQP, SOCP, SDP are special cases of it.
Linear algebra is based on the open source library
Colt,
while theoretical foundation is based on the work of
S.Boyd and L.Vandenberghe,
"Convex Optimization".
- NOTE
- Please note that it is a general purpose library,
in the sense that the implementation does not exploit any special structure
of the problem (at least at a very high level with an appropriate choice
of the class of the functions involved): in many cases it might be
necessary to deep leverage the structure of the problem in order to
increase the precision and the speed of the solution. You can do this via
an ad-hoc extension of the library classes, or feel free to contact us at
info@joptimizer.com.
