How to solve optimization problems with constraints of differential equations constraints ?

I want to use the fmincon function but I don't know how to write constraints with differential equations.

[Sam Chak]

Are you able to find some relevant constrained problems in the fmincon documentation?

[xin]

In the help file, it seems that fmincon can only handle non-linear constraints.

Answer 1

[Sam Chak]

Hi @xin

This optimization problem in this example has the following:

• a linear equality constraint,
• three linear inequality constraints,
• a nonlinear equality constraint, and
• two nonlinear inequality constraints.

https://www.mathworks.com/help/optim/ug/how-to-use-all-types-of-constraints.html

Follow the example to correctly describe the constraints in your code. Start with a simple univariate problem before progressing to a multivariate problem.