Finance Notes_Part_32

Finance Notes_Part_32 - Open, closed and hidden constraints...

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Unformatted text preview: Open, closed and hidden constraints Consider the toy problem: min x R 2 x 2 1- x 2 s.t.- x 2 1 + x 2 2 1 x 2 Closed constraints must be satisfied at every trial vector of decision variables in order for the functions to evaluate. Here x 2 is a closed constraint, because if it is violated, the objective function will fail. Open constraints must be satisfied at the solution, but an optimization algorithm may generate iterates that violate it. Here- x 2 1 + x 2 2 1 is an open constraint. Audet and Vicente (SIOPT 2008) Optimization under general constraints 80/109 Open, closed and hidden constraints Consider the toy problem: min x R 2 x 2 1- ln( x 2 ) s.t.- x 2 1 + x 2 2 1 x 2 Closed constraints must be satisfied at every trial vector of decision variables in order for the functions to evaluate. Here x 2 is a closed constraint, because if it is violated, the objective function will fail....
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Finance Notes_Part_32 - Open, closed and hidden constraints...

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