I have this optimization problem and I wonder any function in any python library can solve it? Say I want to minimize f(x) by gradient descent. x is a vector of say 3 dimensions, x=(x1,x2,x3). The constraint is x1>0, x2>0, x3>0, and x1+x2+x3=1. Any function can solve this constrained gradient descent? Thank you.
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Mazdak
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this post might be of some help http://stackoverflow.com/questions/17784587/gradient-descent-using-python-and-numpy – aensm Apr 21 '15 at 14:56
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also, scikit-learn has functionality to do SGD http://scikit-learn.org/0.11/modules/sgd.html – aensm Apr 21 '15 at 15:00
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Can you add an example in your question? – Mazdak Apr 21 '15 at 15:02