Create expanding input for linprog optimization

Question

Simon Funder 2012-3-16

Hi,

I'm trying code an expanding constraint limitation vector for a linprog optimization that has to be able to run for any number of stages.

Basically, what I need is a way to create the following input for each linprog loop:

Loop 1: B*x1

Loop 2: B*x2 - B*x1

Loop 3: B*x3 - B*x2 - B*x1

Loop... and so on.

x_n being the output(s) of the linprog from previous loop(s) and x1 the output from an initial linprog.

Any ideas?

Cheers, Simon

Answer 1

Simon Funder 2012-3-16

Ok, solved this myself, in case anyone's interested :)

for h=3:q
% Constraint limitation input
B_start = B*x_val(:,h-1);
for j=h-2:-1:1
      B_add = add + B*x_val(:,j);
end
b_con = b(:,h)+B_add;
end

q being the number of stages - stage 1 and 2 are solved individually prior to the loop.

Simon