LSGRG2 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. LSGRG2 has features to deal with the realities of large optimization problem solving. LSGRG2 is capable of solving problems with several thousand variables and several thousand constraints.
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.
There are many options that are available for the experienced user to gain control over the solution process. Some of these features reduce the time needed to solve large problems and other features make it possible to solve difficult problems.
The algorithm for large scale constrained optimization used by LSGRG2 is described in: Smith, S. and Lasdon, L.S., Solving Large Sparse Nonlinear Programs Using GRG, ORSA Journal on Computing, Vol. 4, No. 1,Winter 1992, pp. 1-15.
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 LSGRG2 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 LSGRG2 User's Guide.
LSGRG2 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), and by any Windows application capable of referencing a DLL. The LSGRG2 User's Guide describes the C interface and gives examples using C.
The Windows 95 DLL version of LSGRG2 is available for $1995.
A single user development C source code license for LSGRG2 is priced at $5995. The C source code can be compiled and run on Windows and Unix systems.
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Contact Windward Technologies for information about LSGRG2 and other WTI products.
View the LSGRG2 User's Guide and example problem.
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