Non Linear Programming Optimization problem

Hello everyone, So I am trying to solve a maximization problem using Matlab. The objective is to solve it using Markov/ nlp maximization. I understand the equation format and I have all the input variables needed but I really do not have a clear idea on where and how to start to set up the estimation in matlab. Can anyone please point me in the right direction?

Answer 1

[Alan Weiss]

I do not understand what you are trying to do, but if you have Optimization Toolbox, you might be able to use its nonlinear programming solvers. See problems the toolbox handles and the introductory example.

If you do not have Optimization Toolbox, consult the MATLAB optimization documentation.

Good luck,

Alan Weiss

MATLAB mathematical toolbox documentation

[Amine Ben Ayara]

Hello Alan, Thank you for taking the time to reply. So this is the GAMS code that I have been trying to write into Matlab, because it is much more easier for me to work in the matlab environment.

Call, Define, and Run Model equation maxlam finds max value of Lagrange Multipliers; maxlam .. m =e= sum((i,t,h,k), y(i,t,k)(x(i,t,h)*l(i,h,k) )) -sum((i,t,j),log(sum(k, q(t,j,k)*exp(yl(i,t,j)*sum(h,l(i,h,k)*x(i,t,h)))))); model markov /maxlam/ ; markov.optfile=1 ; (The settings of the Markov space? ) markov.workspace=2500.00 ; solve markov using nlp maximizing m ; As you can see, it is a unconstrained maximization problem and I have all the variables needed : X, Y & q. I just need to find the values of lambdas (l).

[Alan Weiss]

I am sorry to say that I still do not understand what you are trying to do. Usually, Lagrange multipliers are not independent variables, but instead come about because you are optimizing a constrained problem. The Lagrange multipliers can be nonzero only at active constraints. Unconstrained problems generally do not have associated Lagrange multipliers. See, for example, Wikipedia or this tutorial.

I do not understand GAMS code, so I cannot help you there.

Alan Weiss

MATLAB mathematical toolbox documentation