How can I using fmincon on both vector variables and matrix variables

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Jingyu Liu
Jingyu Liu 2022-2-16
评论： Walter Roberson 2023-9-15
I have a optimization problem with two variables: x is a vector and U is a matrix. I want to solving it by fmincon. My question is, how I can write the fmincon. More exactly, how to write the objective function and constraints? Or I have to transform U into a vector variable.
Any suggestion is appreciated. Thanks!
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Joshua Scott
Joshua Scott 2023-9-15
@Walter Roberson, What if you have both scalars and a matrix that need to be optimized?
Would I: Vectorize the matrix, reshape within the function getting called by fmincon, and reshape after fmincon?
Or am I missing a step?
Thank you for the guidance!
Walter Roberson
Walter Roberson 2023-9-15
function [c, ceq] = nonlcon(X) %example
x = X(1);
U = reshape(X(2:end), 5, 20); %U is 5 x 20
%now use x and U to compute c and ceq
end
And yes, after the optimization when you have the packed vector, you would to the same extraction to get the final values.

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Alan Weiss
Alan Weiss 2022-2-16
You might enjoy the problem-based approach, which does not require you to put all variables into one.
Alan Weiss
MATLAB mathematical toolbox documentation

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