multivariate non-linear optimisation library for java similar to Matlab's
solver GRG algorithm
I have been looking for a good optimisation algorithm for almost a year
now. My problem consists of taking a matrix of observed values, lets call
it 'M' and using a function 'F' which by transforming each of M's cells
one by one produces another Matrix 'N'. then matrices M and N are compared
using least square method and the distance between them should be
minimised by changing the variables of 'F'. There is an array of variables
lets call it 'a' and a single variable 'b' which are used in the function
F. The variable 'b' is consistent between all of the calculations required
to get the matrix 'N'. Now the length of array 'a' depends on the number
of rows, one number from array 'a' corresponds to each row. So lets say to
calculate the 3rd row of 'N' I use F on the value of each cell in the 3rd
row of 'M' together with the variables a[3] and b. to calculate the 4th
row of N i calculate F with the value of each cell from the 4th row in M
in turn together with a[4] and b. And so on And so on. Once I calculate
the whole of N i need to compare it to M and minimize their distance by
adjusting the array of variables a[] and the variable b. I have been using
apache cmaes for smaller matrices but it doesnt work as well as matlab's
solver on large metrices
With kind regards to any genius out there,
Erik
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