Problem with Constrained Optimization with nonlinear constraints
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Hello,
I am trying to do the following constrained optimization in matlab using the fmincon and nonlinear constraint.
max μ'*x
subject to A*x ≤ b
x'*Σ*x ≤ s
μ'*x + inv(F(x)(0.05))*sqrt(x'*Σ*x) ≥ −β
-1 ≤ x ≤ 1
The x is a (3x1) matrix. The problem is that the fmincon cannot find any feasible solution that is satisfying the constraints. Is it because the x is a vector and not a scalar?
Any reply would be appreciated!
Thank you in advance, Porfyria
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Alan Weiss
2013년 1월 11일
fmincon handles vector arguments such as x. This section of the documentation gives suggestions for dealing with the case when fmincon cannot find a feasible point.
Alan Weiss
MATLAB mathematical toolbox documentation
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Alan Weiss
2013년 1월 11일
I'm sorry, I do not understand what you mean. For the values of A and b and x that you give,
A*x = -2.9979 ≤ b.
And the bounds lb ≤ x ≤ ub are satisfied. So what is the problem?
Alan Weiss
MATLAB mathematical toolbox documentation
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