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Thread Subject:
lagrange with a twist

Subject: lagrange with a twist

From: Mike

Date: 7 Feb, 2011 18:59:05

Message: 1 of 2

I want to solve:

Sum{Max[a(i) , b(i) + lambda * c(i) + mu * (lambda*d(i) + e(i))]} , i=1:N
for lambda and mu. N here is on order of 10^5 and a,b,c,d,e are all real.

I can use fminsearch, but it seems to take quite a while for a relatively simple problem despite having pretty good starting points.

I'd appreciate any ideas for a more efficient method.

Subject: lagrange with a twist

From: Torsten Hennig

Date: 8 Feb, 2011 07:28:24

Message: 2 of 2

> I want to solve:
>

What do you mean by _solve_ ?

> Sum{Max[a(i) , b(i) + lambda * c(i) + mu *
> (lambda*d(i) + e(i))]} , i=1:N
> for lambda and mu. N here is on order of 10^5 and
> a,b,c,d,e are all real.
>
> I can use fminsearch, but it seems to take quite a
> while for a relatively simple problem despite having
> pretty good starting points.
>
> I'd appreciate any ideas for a more efficient method.

Best wishes
Torsten.

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