Hi Sem,
I can recognise that you are trying to find a way to solve a nonlinear optimisation problem using MATLAB.
The optimisation toolbox in MATLAB provides the fmincon function which can be used for solving constrained nonlinear optimization problems. Unfortunately, it has no support for generalized reduced gradient (GRG) method (refer this article to know more on this), but you can choose between multiple algorithms in it using optimoptions function.
Here an example in which I am changing the algorithm from 'interior-point' (default) to ‘sqp’:
options = optimoptions(@fmincon,'Algorithm','sqp')
You can learn more about the optimoptions function from the link mentioned here:
One important thing to remember here is that 'trust-region-reflective' algorithm requires a gradient which can be added by setting SpecifyObjectiveGradient to true.
To know more about the algorithms supported by fmincon, from the link mentioned here:
For more information on the fmincon function in MATLAB by using the link mentioned here:
I hope this, helps!
