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Can Excel perform constrained nonlinear optimization?

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That's the kind of question that gives me total certainty about my ignorance –  Pitto Dec 30 '10 at 20:42

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You can use Excel's Solver to solve nonlinear optimization problems with constraints. Bear in mind that:

Nonlinear problems are intrinsically more difficult to solve than linear problems, and there are fewer guarantees about what the Solver (or any optimization method) can do. The Solver uses the GRG (Generalized Reduced Gradient) algorithm -- one of the most robust nonlinear programming methods -- to solve problems whenever the Assume Linear Model box in the Solver Options dialog is unchecked. (When the box is checked, the Solver uses the Simplex method for linear programming problems.) More...

Steps to add the Solver add-in in Excel 2007:

  1. Click the Microsoft Office Button, and then click Excel Options.
  2. Click Add-Ins, and then in the Manage box, select Excel Add-ins.
  3. Click Go.
  4. In the Add-Ins available box, select the Solver Add-in check box, and then click OK. Tip: If Solver Add-in is not listed in the Add-Ins available box, click Browse to locate the add-in. If you get prompted that the Solver Add-in is not currently installed on your computer, click Yes to install it.
  5. After you load the Solver Add-in, the Solver command is available in the Analysis group on the Data tab.

This is an example about solving a nonlinear optimization problem using Excel.

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