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