Optimization with infinite constraints

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Aitor López Hernández
回答： Nicolas Schmit 2017-9-20
Hello,
I must face the following contraint in my optimization (simplified):
a-b(x,a) < 0 a >= 0
% X: parameter vector to be optimized
% a: additional variable of length 1
I have come across 'fseminf' function, which seems to be exactly what I was looking to. However, it only takes into account close intervals for 'a'. I would need this constraint to be met for any positive real value of a with a precision of thousandths.
Does anything like this exist? Could any of you give me a hand?

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回答（1 个）

Nicolas Schmit
Nicolas Schmit 2017-9-20
1) Augment your parameter vector X with a.
Xaug = [X; a];
2) Define a-b(x,a) < 0 as a nonlinear constraint.
3) Define the bounds of a.
lba = 0;
uba = inf;
4) Solve the problem using fmincon (or another optimization routine).

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