Choice of algorithm for mixed-integer-continuous variables optimization problem

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Yunhyeok Ko 2022-3-13

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评论： Torsten 2022-3-14

I need to find optimum set of variables (K, M) which minimize cost function

c(x, y) = [z(x, y) - z*(x, y)].^2

Here, z(x, y) = N x N target matrix and z*(x, y) = f(x, y; K, M) : function of K and M

Also the constraints are given as follows

K: integer = [2, 3 .... 200]
M: H by V matrix, 0 <=M(h, v) <= 250, all elements of M(h, v) are continuous variables (double)

In this problem, what kind of algorithm would be the best choice for this problem??

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Torsten 2022-3-13

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I'd call fmincon 199 times for k=2,3,4,...,200 and choose the result for K which gives a minimum for the cost function.

Then you will need to use ga with a cost function that is the sum of the c values (so, sum of squares), and using as input a vector that your cost function then splits up between K and M. Number of inputs is numel(K)+numel(M) and the ones that represent K should be marked as integer. Use upper and lower bound to constrain K and M.

You might prefer to write this using Problem Based Optimization