fmincon
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If the matrix Aeq in linear constraint Aeq*x=beq have parameters,how can this kind of problem be solved using the function fmincon to obtain the optimized parameters in matrix A?
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Titus Edelhofer
am 20 Jul. 2011
Hi Ashley,
do I understand correctly: there are two entries in Aeq which you want to optimize as well? In this case Walter is right: you would need to put into the non linear constraint function (and add to the variables), i.e., your x will be in fact [x_1,...,x_n,A_1,A_2], where A_1 and A_2 do nothing in the objective function, but will be used in the constraint function (something like)
function [c,ceq] = mynonlin(xAll)
x = xAll(1:end-3);
Aeq = [1 xAll(end-1); 0 xAll(end)]; % example
beq = ...;
ceq = Aeq*x-beq;
Titus
2 Kommentare
Walter Roberson
am 21 Jul. 2011
Lower bound should be passed in as the 7th parameter of fmincon, lb. Use 0 for lb(K) if the K'th parameter is to have a lower bound of 0. Use -inf as a place holder for any parameter which is not to have a lower bound.
Upper bounds go in to the 8th parameter; use +inf as a placeholder for any parameter which is not to have an upper bound.
Use [] as the vector of bounds if none of the parameters have that kind of bound.
Weitere Antworten (2)
Chirag Gupta
am 18 Jul. 2011
I would start with typing doc fmincon for the documentation on the function.
Walter Roberson
am 18 Jul. 2011
If you need to provide parameters instead of definite matrices for Aeq, then fmincon() is not appropriate for your purposes.
What kind of parametrization are you hoping to do?
3 Kommentare
Walter Roberson
am 19 Jul. 2011
Is there a reason this could not be checked in the non-linear constraint function ?
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