Constrained Optimization with fmincon for multiple inequalities

Question

metehan yayla 2016-4-29

编辑： Torsten 2016-4-29

I am stuck with the implementation of the boundaries to fmincon command. Constraints on the optimization variable u are;

     a1 <= u <= a2
     b1 <= u <= b2

But, I have no exact knowledge on a1, b1, a2, and b2. Mathematically, I can express my constraints as follows;

max(a1, b1) <= u <= min(a2, b2)

These a1, a2, b1, and b2's are changing for each output of the optimization variable u.

How can I implement these inequalities in fmincon?

Answer 1

Torsten 2016-4-29

编辑：Torsten 2016-4-29

Use the option to prescribe general constraints for fmincon in the user-defined function "nonlcon".

Best wishes

Torsten.