How to solve an optimisation problem when the decision variables of my objective function are function of objective function?

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SANDEEP KUMAR R 2016-10-22

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评论： Walter Roberson 2016-10-23

Eg. Obj function be t. Let x y z be decision variable. t=F(x,y,x). But the problem is x,y,z are function of t i.e x(t) y(t) z(t). How to go about solving this?

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Answer 1

John D'Errico 2016-10-22

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If x,y,z are all functions of t, then t is the real variable here. You are not controlling x,y,z, only t. So this appears to be a single variable problem, from your statement. Use a tool like fzero or fminbnd as appropriate.

It may be your problem is not what you state. In that case, explain it more clearly.

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SANDEEP KUMAR R 2016-10-22

the thing is that x,y,z cannot be expressed in terms of t explicitly.How do you solve it now ?.

Walter Roberson 2016-10-23

Are you using implicit equations where your variables occur on both side of the equation? Such equations are almost always continuous rather than discrete, but decision variables are discrete by their nature.

Are you using decision variables that change in time in a way that there is no known formula for, or possibly in a way that there cannot be any formula for (e.g., electricity needs might have statistical relationships to climate or to previous days, but are not completely predictable and any one hour you have a particular demand) ?

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