How to maximise a matrix subject to constraints?
June 14, 2009 5:16 AM Subscribe
Optimisation problem: trying to find the subset of my data that meets a couple of constraints.
posted by muhonnin to science & nature (18 answers total)
I have a data set with 200 columns and 20 rows of numbers. I am trying to find the 20 columns that make the mean of all values in the resulting 20 x 20 data set as large as possible--subject to the constraint that no row in the 20 x 20 set can have a mean value below a particular figure.
I have access to a range of software tools (Excel, Mathematica, SPSS). I know how to specify the constraint if I were going for a brute force solution, but obviously that's not going to be feasible here. All suggestions greatly appreciated. . . . .