Hello everyone,
I want to use Optim.jl
to solve a constrained optimization problem. As far as I understand, Optim.jl offers constraints of the form (lower_bound_i <= x_i <= upper_bound_i)
. However, for my problem I need constraints that include multiple variables, for example: (lower_bound <= x_1 + x_2 <= upper_bound)
. A classical example is budget constraints in economics/finance where multiple forms of expenditure need to satisfy a single total resource constraint. If that information helps, the problem is otherwise non-linear.
Grateful for any links and suggestions
Best regards,
Ilja