Problem with Constrained Optimization with nonlinear constraints
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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
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Accepted Answer
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
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
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