How can I perform an optimization with constraints that are interdependent?

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Joel Marchand 2016-3-25

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评论： Joel Marchand 2016-3-28

I have a need to perform an optimization (using the Global Optimization Toolbox) where the optimization parameters are interdependent. One parameter p may vary in the interval (0, v] where v is some user defined max value. The second parameter s may vary in the interval [0, p]. s may vary up to v but only if it is less than p. How would I apply this type of constraint when using the Global Optimization Toolbox?

Using MATLAB 2015b on Windows 7 Professional

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Answer 1

Walter Roberson 2016-3-25

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[0 v] can be done through lower bound 0, upper bound v. Use that for both parameters. Then s in 0 to p can be done as a linear constraint that 1 * s + (-1) * p <= 0 . If you need a strict inequality then make the upper limit -eps(realmin) as that is the least-negative representable negative number.