Separable nonlinear concave objective function optimization

Hi, I am trying to maximize an objective function of this form: max(Sum(Sum( r(k)*L(i,k) - l(k)*L(i,k)*exp(-(F(i,k)*c(i)*m(i,k) - L(i,k))))))

subject to constraints such as Sum(F(i,k) <= 1) (for k counter)

where the decision variables are L(i,k) and F(i,k) and the first sum increases the i counter and the second the k counter.

What solver in Matlab (optimization toolbox perhaps?) should I use? I would appreciate any help.

thanks in advance, Tom

Answer 1

[Titus Edelhofer]

Hi Tom,

although I admit I don't fully understand the problem, probably fmincon is the solver you are looking for.

The constraints can be implemented as nonlinear inequality constraints (see doc for nlincon in the help for fmincon).

Titus