GRG2 is a program that solves constrained nonlinear optimization problems of the following form:
Minimize or maximize gp(X),
subject to:
| glbi £ gi(X) £ gubi | for i=1,...,m, i ¹ p |
| xlbj £ xj £ xubj | for j=1,...,n. |
X is a vector on n variables, x1 ,...,xn, and the functions g1 ,...,gm all depend on X.
Any of these functions may be nonlinear. Any of the bounds may be infinite and any of the constraints may be absent. If there are no constraints, the problem is solved as an unconstrained optimization problem. Upper and lower bounds on the variables are optional and, if present, are not treated as additional constraints but are handled separately. The program solves problems of this form by the Generalized Reduced Gradient Methods.
Only problem specification information is required to be supplied by the user. There are many options that are available for the experienced user to gain control over the solution process. GRG2 is a fully-tested and robust algorithm backed by more than 15 years of solving real-world problems in the petroleum, chemical, defense, financial, agriculture, and process control industries.
The C version is specially designed to be used as part of a larger system. The interface uses features of the C language, such as pointers, to make it easy to build GRG2 into an application with a front-end written in C or written in another language (e.g., Visual Basic). These features are explained in the GRG2 User's Guide.
GRG2 is available as a DLL and in C source code formats. The DLL version is specially designed for the Windows 95 operating system. The DLL can be used by C programs, by Fortran programs (MS PowerStation Fortran and Digital Visual Fortran), by MATLAB 5, and by any Windows application capable of referencing a DLL. The GRG2 User's Guide describes the C interface and gives examples using C, Fortran, and MATLAB. Contact The MathWorks, Inc. for more information about MATLAB.
The Windows 95 DLL version of GRG2 is available for $1495. GRG2_30, a version of the GRG2 DLL limited to problems with no more than 30 variables and 30 constraints, is available for $395.
A single user development C source code license for GRG2 is priced at $3995. The C source code can be compiled and run on Windows and Unix systems.
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Contact Windward Technologies for information about GRG2 and other WTI products.
The GRG2 User's Guide describes an example constrained optimization problem and has,
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