Constrained Optimization and Constraints with more than one variable

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 :slight_smile:

Best regards,


Have a look at this [Youtube video link – Basic Optimization Usage (Julia) - YouTube] (start time —> 9:44 ). This might help you.

Seems like your link is broken :frowning:

I think you are looking for something more general than Optim.jl, typically JuMP.jl or Convex.jl depending on the kind of problems you face

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Check Survey of Non-Linear Optimization Modeling Layers in Julia

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