[Ipopt] Which optimizer is best for an optimization problem with one variable being constrained by the rest variables?
Peng Yu
pengyu.ut at gmail.com
Sun Jun 7 19:23:18 EDT 2015
Sorry, there is a typo in my original email. "min" should be changed
to "max". I have several other changes. Here is the corrected problem.
max f(x), where x satisfies x_n > g(x_1, x_2,...,x_{n-1})
f(x) takes -Inf on the line of x_n = g(x_1, x_2,...,x_{n-1}) and is
undefined when x_n < g(x_1, x_2,...,x_{n-1}).
f is infinitely differentiable in the region of x_n > g(x_1,
x_2,...,x_{n-1}). g is piecewise infinitely differentiable in R^{n-1}.
The region defined by x_n > g(x_1, x_2,...,x_{n-1}) is not convex. I
am not sure if there is a transform of x_1,...,x_{n-1} to make the
region convex (BTW, Is there a way to find such a transform to make
the region convex?)
--
Regards,
Peng
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