Formulation of Optimization Function - MIN (SUM [ (P+X)^2 ])

Dear community,

I am currently and repeatedly struggling with the formulation of an optimization function for Matlab's CPLEX API. I guess there aren't many around with distinct CPLEX experience, however, this case should basically be the same as with fmincon, linprog and other Matlab Toolbox solvers.

I am trying to formulate the following function in CPLEX syntax:

 MIN (SUM [ (P+X)^2 ])
,with P being a given scalar vector in the dimension of 1x8760 and X being the variable to be optimized (same dimension).

The standard syntax however is given always as follows:

min      f*x

It seems to me that this must be simple. However, I just can't find an approach here. I must confess that I have very little experience in optimization, even less with CPLEX.

Thankful for every bit of help.

Best, Mathias

Answer 1

[Stephan]

Hi,

i do not know CPLEX - but if i would have to do this with Optimization Toolbox i would use:

f_val = @(X)obj_func(X,P);

function result = obj_func(X,P)
    result = sum((P+X).^2);
end

The function should be at the end of the script or be saved in a .m-file named obj_func.m.

The min is not needed for Optimization Toolbox, since the solvers do this by theirself. I dont know how CPLEX behaves at this point.

Best regards

Stephan

[Mathias Dirksmeier]

Hi, sorry, I just found a proper solution. There is a specific solver to this problem:

[x,resnorm] = cplexlsqmilp(C,d,...)

I guess apart from Cplex your solution would have worked.

[Stephan]

I wish you success!