One hack that I often use for this problem is to use any gradient based machine learning approach and just add a Lagrangian to the cost function. As the function converges gradually increase the langrangian until the value holds up to your tolerance for error. If your system is some sort of convex program or something nice, looking for a constrained program that solves your problem formulation may be a good bet.
www3cam t1_j1bxx29 wrote
Reply to [P] Regression Model With Added Constraint by rapp17
One hack that I often use for this problem is to use any gradient based machine learning approach and just add a Lagrangian to the cost function. As the function converges gradually increase the langrangian until the value holds up to your tolerance for error. If your system is some sort of convex program or something nice, looking for a constrained program that solves your problem formulation may be a good bet.