Can I use the minimax optimization algorithm for multiple variables?
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In my problem, I set 3 separate threshold values which are then used to group my dataset in four sub-groups. Then I calculate mean values or sums in specific variables of the subgroups.
Can I use the minimax algorithm to find the optimized (minimum) 3 thresholds, that will give me the maximum values of the specific sums and means that I am looking for?
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John D'Errico
le 7 Déc 2016
Modifié(e) : John D'Errico
le 7 Déc 2016
If your goal is to set thresholds which are then used to group your data into subgroups, the answer is no. Sorry. Why?
Think about it. Change the threshold just by a tiny amount. As long as it does not change what subgroups the data falls in, it changes nothing about your objective. So your function becomes a piecewise constant function of the parameters, thus discontinuous, non-differentiable, etc. No optimizer will handle this well, certainly not one that assumes differentiability.
So, it is not a problem to have multiple unknowns for that optimizer. What you cannot have is a discontinuous function. You also cannot solve for multiple VARIABLES. Group all of your unknowns into ONE vector of unknowns.
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