Path: news.mathworks.com!not-for-mail From: <HIDDEN> Newsgroups: comp.soft-sys.matlab Subject: Minimization of integral problem Date: Sun, 20 Mar 2011 13:19:04 +0000 (UTC) Organization: The MathWorks, Inc. Lines: 13 Message-ID: <im4us8$7kc$1@fred.mathworks.com> Reply-To: <HIDDEN> NNTP-Posting-Host: www-03-blr.mathworks.com Content-Type: text/plain; charset=UTF-8; format=flowed Content-Transfer-Encoding: 8bit X-Trace: fred.mathworks.com 1300627144 7820 172.30.248.48 (20 Mar 2011 13:19:04 GMT) X-Complaints-To: news@mathworks.com NNTP-Posting-Date: Sun, 20 Mar 2011 13:19:04 +0000 (UTC) X-Newsreader: MATLAB Central Newsreader 2263823 Xref: news.mathworks.com comp.soft-sys.matlab:716940 Hello! I am just about to solve the following minimization problem with equality and inequality constrains: min -int_{-\inf}^{\inf} log(1+ a * f(x)) dx s.t. f(x) >= 0, int_{-\inf}^{\inf} f(x) dx = C, int_{-\inf}^{\inf} f(x) * b(x) >= d *C f(x) and b(x), respectively, are scalar function of x, a, C and d can be considered as constants. The optimization parameter is f(x) What's the best way to tackle such a problem? I would have started using fmincon, but I am not sure whether this can be used because of the infinite integrals. What integral solver should be employed for this purpose? According to the Matlab reference quadgk seems to be the right choice ... Any hints appreciated!