Problem when using max operation in objective function of fmincon optimization
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Hi. I have a problem when I use max operation in objective function of fmincon optimization. My code of objective function:
function J = Minimized_Function(x)
A = sub_function_1 (x);
B = sub_function_2 (x);
C = sub_function_3 (x);
J = max(A,B,C)
where sub_function_1, sub_function_2, sub_function_3 are certain funtions.
Operation max(A,B,C) seems to make my objective function become discontinuous. As a consequence, I cant get the right result of optimization process despite that fact that the code works.
2 Comments
Bruno Luong
on 5 Oct 2018
Operation max(A,B,C) seems to make my objective function become discontinuous
Nope it makes your objective function not differentiable, whereas FMICON requires the derivative exists and continuous.
Nguyen Phuoc
on 5 Oct 2018
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