Optimization problem with equality/inequality contraints with conditional weighting parameters in objective function

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studentU 2016-7-24

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Hello,

I am interessed to solve this optimization problem:

min @(a)w(I)*(a(I) -b(I))^2

with equality and inequality constraint

where: I = {1...10}; b(I) are known parapmeters; while w(I) are the conditional paramaters wich can be computed as following:

       if (a(1)-b(I))>0 
           w(1)=e1;
       else
           w(1)=d1;
      if (a(2)-b(2))>0 
           w(2)=e2;
       else
           w(2)=d2;
           ...
 e1,d1,e2,d2,w3 .... are known parameters.

I try to use fmincon function, but I do not know where and how can i incorporate the calcul of wI parameters (with nonconst or objfunct...).

I would greatly appreciate any sort of guidance in solving this problem.

Thank you.

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Torsten 2016-7-25

I don't understand your objective function.

You sum over I ? And the b(I) are given parameters ?

Best wishes

Torsten.

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