Bayesian Optimization for constrained optimization in fmincon?
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Hello, I have been doing constrained optimizations of underdetermined systems of linear equations with fmincon.
The optimization algorithm is too slow for my application, therefore I was wondering if there is a way I can just substitute in the Bayesian Optimization algoirthm instead?
I am interested in using the Bayesian Optimization method to optimize the objective function because I heard the it is computaionally very fast.
Thanks!
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I have been doing constrained optimizations of underdetermined systems of linear equations with fmincon.
Isn't "lsqlin" the appropriate tool for this ?
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SV
2022-4-1
In my case I am not interested in a the least squares solution because there a many non-unique solutions, and the least squares solution is just one of them, and I have constraints on model error that reflect the analytical uncertainty of the chemical analysis instrument.
I am instead using an objective function that solves for the maxiumum and minimum solutions that are valid mass balance solutions to within analytical error.
Torsten
2022-4-1
I think you can use Bayesian Optimization, but my guess is that it's far slower than fmincon.
This should work better for your purpose:
For other software, check here
under the point
f general, bound constraints only
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2022-4-1
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