Convex optimization with linear constraint?

David Fuentes fuentesdt at
Wed Apr 29 14:37:09 CDT 2009


Unless I'm missing something, I don't think you will directly find what
you are looking for.  You will prob have to solve

    A * vec_x = vec_b

directly in your FormObjective function then use an 
adjoint method or something to compute your gradient directly
in your FormGradient routine.

On Thu, 30 Apr 2009, liu chang wrote:

> I'm using PETSc + TAO's LMVM method for a convex optimization problem.
> As the project progresses, it's clear that some linear constraints are
> also needed, the problem now looks like:
> minimize f(vec_x) (f is neither linear or quadratic, but is convex)
> subject to
> A * vec_x = vec_b
> As LMVM does not support linear constraints, I'm looking for another
> solver. TAO lists several functions dealing with constraints, but
> they're all in the developer section, and in the samples linked from
> the manual I haven't found one that's linearly constrained. Is there a
> suitable one in TAO?
> Liu Chang

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