Nonlinear Constrained Optimization for Transient Function

Hi all,

I have a pretty general question but I just wanted to make sure the methodology makes sense before I invest the time into this approach. Suppose I have a function that is subject to the constraints and for each subsequent time-step. Would I be able to solve such a problem using "fmincon" assuming that the aforementioned function, f, is continuous as a function of time? If so, what general advice would you give to ensure that the constraints are preserved during the loop? I want to avoid numerical oscillations in the predictions of .

Thank you so much for your time and help!

Regards,

Chris

[Gautam]

fmincon is a derivative based method for arriving at the minima. So if your fcn is continunous within the lower limit and upper limis specified for x1,x2,x3 space, then it is a method that can be explored. (Note that it depends on the function and you can make use of the following table to get started https://www.mathworks.com/help/optim/ug/optimization-decision-table.html)

Regarding oscillations, maybe you could decrease the step-size(is delta_x) while evaluating the function(note that this slows down the optimization task since you have moving slowly towards optimality because of the step size) and putting apropriate function tolerances so the optimization converges and doesnt oscillate.