CODEWITHSUNDEEP
pythonoptimizationscipyscientific-computing
Sam
Sam

Reputation: 91

How to use `scipy.optimize.linprog` for a more complicated objective function?

Is there a way to solve a more complicated objective function using scipy.optimize.linprog? The problem takes the form

c^T * x / ((d^T * x)^T*e)

where x = N x 1, c = N x 1, d = N x M and e = M x 1.

Using an explicit function in scipy.optimize.minimize takes too long.

Upvotes: 2

Views: 410

Answers (1)

Sam
Sam

Reputation: 91

So it turns out this is actually a well know problem in optimization called linear fractional programming. There is a way to transform the variables and solve it with some additional constraints. I am not sure whether scipy linprog will work, but at least there is a path I can see.

Upvotes: 1

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