f# - Accord.net Cobyla solver returns success when there are no feasiable solutions -


i'm using accord.net's cobyla solver solve rather simple non-linear problem. in cases there no feasible points problem. when run simple problem non-feasibility obvious, solver return "success" though solution not feasible.

consider following example, written in f#:

open system.collection.generics  let obj12 = quadraticobjectivefunction("a - a*a"); let c12 = quadraticconstraint(obj12, array2d.zerocreate 1 1, [| 10.0 |],    constrainttype.lesserthanorequalto, 4.0) let c13 = quadraticconstraint(obj12, array2d.zerocreate 1 1, [| 10.0 |], constrainttype.greaterthanorequalto, 45.0)  let p1 = list<nonlinearconstraint>() p1.add(c12) p1.add(c13) let solver1 = cobyla(obj12, p1)   let success = solver1.maximize() let value = solver1.value let solution = solver1.solution let r = solver1.status

the solution solver found 4.5 violate first , second constraints solver status "successful".

is bug/feature? workaround?

i author of c# cobyla code basis accord.net version of cobyla. c# implementation straightforward translation fortran 77 of michael powell's original code.

the optimization method supports 3 return statuses:

  • normal termination
  • maximum number of function evaluations reached
  • rounding errors increasing in uncontrolled way

there exists no explicit indication saying constraints violated. cobyla strives meet constraints, not guaranteed succeed , may return without having fulfilled constraints.

if interpret example correctly (my f# knowledge little rusty moment) have 2 contradicting constraints, or? possible workaround, otherwise suggest select variable start guess @ least approximately fulfills constraints; should make easier cobyla stay within feasible region.


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