Problem with Constrained Optimization with nonlinear constraints

1 view (last 30 days)
Hello,
I am trying to do the following constrained optimization in matlab using the fmincon and nonlinear constraint.
max μ'*x
subject to A*x ≤ b
x'*Σ*x ≤ s
μ'*x + inv(F(x)(0.05))*sqrt(x'*Σ*x) ≥ −β
-1 ≤ x ≤ 1
The x is a (3x1) matrix. The problem is that the fmincon cannot find any feasible solution that is satisfying the constraints. Is it because the x is a vector and not a scalar?
Any reply would be appreciated!
Thank you in advance, Porfyria

Accepted Answer

Alan Weiss
Alan Weiss on 11 Jan 2013
fmincon handles vector arguments such as x. This section of the documentation gives suggestions for dealing with the case when fmincon cannot find a feasible point.
Alan Weiss
MATLAB mathematical toolbox documentation
  2 Comments
Porfyria
Porfyria on 11 Jan 2013
Hello,
Thank you for your reply. I started with linprog but the solution it gives doesn't satisfy the linear constraints. Meaning: x:(3x1)
A: ones(1,3)
b = 1
A*x ≤ b
lb = [-1; -1; -1]
ub = [1; 1; 1]
x = [-0.9993; -0.9993; -0.9993]
Am I doing something wrong?
Thank you, Porfyria
Alan Weiss
Alan Weiss on 11 Jan 2013
I'm sorry, I do not understand what you mean. For the values of A and b and x that you give,
A*x = -2.9979 b.
And the bounds lb ≤ x ≤ ub are satisfied. So what is the problem?
Alan Weiss
MATLAB mathematical toolbox documentation

Sign in to comment.

More Answers (0)

Categories

Find more on Problem-Based Optimization Setup in Help Center and File Exchange

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!