How to perform Maximization under non-linear constraints
in [Matlab]
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From: Ashok on 22 Jul 2010 23:41 Hi, I have been working on a problem for sometime now and not been successful. I need to maximize a particular function under some non-linear constraints. I am using fmincon for this purpose. The procedure followed is as below, and have the file names same as what I have been using. Script (*.m)-> 1. OPTIMIZE: this initializes the corresponding values and executes the fmincon function. This starts with a lower_bound of 1 each in a 4-tuple vector, x. 2. CONSTRAINT: this takes in some global values along with the vector x, and evaluates a non-linear constraint. 3. MARKOV_MODEL: this function takes in the passed in vector, x, and dynamically generates and executes MARKOV_CHAIN.m to determine the value of performance that needs to be maximized. Objective is to maximize the performance under the given constraints. The problem I am facing is that since I am generating a new file and then executing it to determine the performance the iterations stop if the constraints have been met but the value has not been maximized. I intend to carry on with iterations such that at a later value of the vector x the performance gets maximized under the given constraints. Please help me figure out an alternative approach to do this. I am generating the file MARKOV_CHAIN.m since the concerned Markov chain equations change with the change in the values of the vector x and in turn the state space changes too. Basically this file contains the discrete markov chain analysis of the state space based on the vector x. |