Asked by rio novendra
on 16 May 2013

I have a constrained minimization problem with objective function (in simplified form)

z=b1+p1*log(p1/(p1+p2+p3))+b2+p2*log(p2/(p1+p2+p3))+b3+p3*log(p3/(p1+p2+p3)) where b1=a1*2,%(a1 is a constant input) b2=a2*3,%(a2 is a constant input) b3=a3*4,%(a3 is a constant input) and constraints 2*p1+3*p2=A1,%(A1 is a constant input) 3*p2+5*p3=A2,%(A2 is a constant input) p1>=0, p2>=0, p3>=0,

so, I wrote on my script a1=input('a1='); a2=input('a2='); a3=input('a3='); A1=input('A1='); A2=input('A2='); A=[-1,0,0;0,-1,0,0;0,0,-1];B=[0;0;0];Aeq=[2,3,0;0,3,5];Beq=[A1;A2]; optimal_p1p2p3=fmincon(@fozw,[0.1;0.1;0.1],A,B,Aeq,Beq); function z=fozw(w); p1=w(1);p2=w(2);p3=w(3); z=b1+p1*log(p1/(p1+p2+p3))+b2+p2*log(p2/(p1+p2+p3))+b3+p3*log(p3/(p1+p2+p3)); end end Then, when I run the script. It appeared on command window solver has stop prematurely fmincon stop because it exceeded function evaluation limit optimal_p1p2p3= NaN NaN NaN

What is the possible error?.

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Answer by Alan Weiss
on 17 May 2013

Accepted answer

Your function has logarithms and division. It seems to me quite likely that fmincon steps into a region where the function is undefined, and cannot proceed.

I suggest that you do two things:

- Ensure that your initial point x0 evaluates to a finite value.
- Use the interior-point algorithm, which is robust to occasional evaluation failures.

Good luck,

Alan Weiss

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