Scaling in optimization problems
6 次查看(过去 30 天)
显示 更早的评论
Assume a simple example, with an optimization problem:max subject to , with and given. I want to solve it with fmincon (because there will be other constraints as well), but with the derivate with dV/dc will get ever smaller with t.
A similar problem occurs when we have:
, where alpha is close to zero.
Is there a way to scale the problem such that the derivates will be of similar size? Otherwise the solution for large t (or smalle alpha) will be less accurate, right?
(One work around would be to use a value function, and solve for each t, but I don't want to do that).
0 个评论
采纳的回答
Matt J
2023-1-22
编辑:Matt J
2023-1-22
the derivate with dV/dc will get ever smaller with t.
It's not clear that that matters because the values of c are also influenced by the constraints and their derivatives.
Regardless, though, most fmincon algorithms are Newton-like, which means they already normalize dV/dc by second derivatives.
0 个评论
更多回答(0 个)
另请参阅
类别
在 Help Center 和 File Exchange 中查找有关 Get Started with Optimization Toolbox 的更多信息
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!