CODEWITHSUNDEEP
algorithmmatlaboptimization
user4976722
user4976722

Reputation: 3

Optimization Toolbox (fmincon) - How to set logical constraints?

Hello all :) I'm pretty new to Optimization and barely understand it (was about ready to slit my wrist after figuring out how to write Objective Functions without any formal learning on the matter), and need a little help on a work project.

How would I go about setting a logical constraint when using the Optimization Toolbox, fmincon specifically (using Trust Region Reflective algorithm)?

I am optimizing 5 values (lets call it matrix OptMat), and I want to optimize with the constraint such that 

max(OptMat)/min(OptMat) > 10

I assume this will optimize the 5 values of OptMat as low as possible, while keeping the above constraint in mind so that if a set of values for OptMat is found with a lower OF in which it breaks the constraint it will NOT report those values and instead report the next lowest OF where OptMat values meet the above constraint?

For the record, my lower bounds are [0,0,0,0,0]. I'm not sure how to enter it into upper bounds as it only accepts doubles and that would be logical. I tried the Active Set Algorithm and that enabled the Nonlinear Constraint Function box and I think I'm on the right track with that. If so, I'm not sure what the syntax for entering my desired constraint. Another method^that ^may ^or ^may ^not ^work I could think of is using this as an Upper Boundary.

[min(OptMat)*10, min(OptMat)*10, min(OptMat)*10, min(OptMat)*10, min(OptMat)*10]

Again, I'm using the GUI Optimization Toolbox. I haven't looked too much into command line optimization (though I will need to write it command line eventually) and I think I read somewhere that you can set the Upper Boundary and it does not have to be double?

Thank you so very much for the help, if someone is able. I apologize if this is a really nooby question.

Upvotes: 0

Views: 571

Answers (1)

rst
rst

Reputation: 2724

What you are looking for are nonlinear constraints, fmincon can handle it (I only know the command, not the GUI) with the argument nonlcon. For more information look at this guide http://de.mathworks.com/help/optim/ug/fmincon.html

How would you implement this? First create a function

function [c, ceq] = mycondition(x)
    c = -max(x)/min(x)/10;
    ceq = 0;

I had to change the equation to match the correct formalism, i.e. c(x)<=0 is needed. Maybe you could also create an anonymous function, I'm not sure (http://de.mathworks.com/help/matlab/matlab_prog/anonymous-functions.html).

Then use this function to feed the fmincon function using the @ sign, i.e. at the specific location write

fmincon(...., @mycondition, ...)

Upvotes: 0

Related Questions