Non Linear Programming Optimization problem
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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?
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Alan Weiss
2015년 12월 11일
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.
Good luck,
Alan Weiss
MATLAB mathematical toolbox documentation
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Alan Weiss
2015년 12월 11일
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
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