Separable nonlinear concave objective function optimization

Question

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Hi, I am trying to maximize an objective function of this form: max(Sum(Sum( r(k)*L(i,k) - l(k)*L(i,k)*exp(-(F(i,k)*c(i)*m(i,k) - L(i,k))))))

subject to constraints such as Sum(F(i,k) <= 1) (for k counter)

where the decision variables are L(i,k) and F(i,k) and the first sum increases the i counter and the second the k counter.

What solver in Matlab (optimization toolbox perhaps?) should I use? I would appreciate any help.

thanks in advance, Tom

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Answer 1

Titus Edelhofer 2012-8-23

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Hi Tom,

although I admit I don't fully understand the problem, probably fmincon is the solver you are looking for.

The constraints can be implemented as nonlinear inequality constraints (see doc for nlincon in the help for fmincon).

Titus