Optimization Toolbox

Linearly Constrained Problems

Linear constraints complicate the situation described for unconstrained minimization. However, the underlying ideas described previously can be carried through in a clean and efficient way. The large-scale methods in the Optimization Toolbox generate strictly feasible iterates:

• A projection technique is used for linear equality constraints.
• Reflections are used with simple box constraints.

Preconditioned Conjugate Gradients

Linear Equality Constraints