weighted least-squares + weighted min-max optimization

Optimization using both weighted least squares and weighted min-max

Description

This is a wrapper function to solve optimization problems (using FMINCON) of the form:

min w.r.t. X of
  CostFunc(X) = beta*(W_ls*F(X)) + (1 - beta)*(max(W_mm*F(X)))

subject to:
  A*X <= B, Aeq*X = Beq (linear constraints)
  C(X) <= 0, Ceq(X) = 0 (nonlinear constraints)
  LB <= X <= UB (bounds)

• Required Products: Optimization Toolbox
• MATLAB release: MATLAB 7.6 (R2008a)