Optimization of complex variables in matlab

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I am working with some optimization, I need to find the best $Lxp$ which is a control gain by minimizing the objective function $obj$ wich is the magnitude of the squares of the eigenvalues of phi_sol minus the values I enter $p1$ and $p2$. By programming in Matlab I have done this function.

function obj=objetivo(Lxp)%x,phi,gamma0,gamma1)
  global phi; %phi=[1 1;0 1]
  global gamma0; %  gamma0=[0.4900; 0.9900]
  global gamma1; %  gamma1=[0.0100; 0.0100]
  global p1
  global p2
  phi_sol= [1 0;0 1];
  for k=1:100
  phi_sol=phi+gamma0*Lxp+ gamma1*Lxp*inv(phi_sol);
  end
  E=vpa(eig(phi_sol))
  obj=abs((E(1)-p1)^2+(E(2)-p2)^2)

The optimization is done by using fminsearch so I do:

>>options = optimset('MaxFunEvals',10000,'TolFun',10^-11,'MaxIter',100000);
>>global p1; global p2; p1=0.7;p2=0.6;
>>[XOUT,FVAL,EXITFLAG]=fminsearch(@objetivo,[0.8 0.9],options)

It converges being $XOUT=[-0.1182 -0.6334]$ which is Lxp.

The problem comes when I need to find solution Lxp for complex $p1$ and $p2$, for example $p1=0.7+0.1*i$;$p2=0.6+0.05i$. My questions are: How should I work with complex variables in this particular optimization problem? How do I split them $p1$, $p2$ and E indeed, and calculate the objective function by using real and complex part?

  1 个评论
Matt J
Matt J 2014-1-8
obj=abs((E(1)-p1)^2+(E(2)-p2)^2)
this looks like it should really be
obj=norm(sort(E)-sort([p1;p2])).^2

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回答(1 个)

Matt J
Matt J 2014-1-8
See here for the relevant technique
Also, I recommend you stop using global variables to pass fixed parameters to functions. There are better ways using anonymous and nested functions, discussed here

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