Constrained Optimization of Implicitly Defined Function
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Is there an algorithm in Matlab for the type of problem I present below?
Implicitly defined function y is to be optimized in an nx1 vector x, subject to linear constraints on x:
max y(x): p(1)*exp(r(1)/y) + ... + p(n)*exp(r(n)/y) - 1 = 0;
such that
x'*ones(n,1) = 1;
x'*r = c;
where mx1 vector p is given, c is given constant, and mx1 vector r=A*x; where A is a given mxn matrix
回答（1 个）
Sure. Use "fmincon" to solve
max y
s.t.
p(1)*exp(r(1)/y) + ... + p(n)*exp(r(n)/y) - 1 = 0
x'*ones(n,1) = 1
x'*A*x = c
But A has to be an (nxn) matrix !
Best wishes
Torsten.
1 个评论
X. Wu
2019-5-6
I am dealing with the same question. My objective function is also y as a implicit function of x. I am not sure how I should write the code using fmincon.
Wish to hear your suggestions.
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2018-3-21
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