Limit on the change rate of the variable in fmincon function

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Mohammad
Mohammad 2019-11-12
编辑： Matt J 2019-11-14
Hi,
In fmincon function, how can I put lower and upper bounds on the change rate of a signal, i.e., ?
Thanks

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Matt J
Matt J 2019-11-12
编辑：Matt J 2019-11-12
You would build linear inequality matrices like the following.
E=diff(eye(numel(u)));
A=[E;-E]; b=[ub(:);-lb(:)]; %linear inequality matrices
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Mohammad
Mohammad 2019-11-14
@Matt: I don't have a set of those signals like an MxN matrix. At each sampling time I have an Mx1 vector u(t) and I want to put a limit on u(t) - u(t-1).
Matt J
Matt J 2019-11-14
编辑：Matt J 2019-11-14
It sounds like you're saying that at time u(t), the values of u(t-1) are already known. Then the bounds can be rewritten
lbnew <= u(t) <= ubnew
where lbnew and ubnew are the known bound vectors
ubnew=ub+u(t-1);
lbnew=lb+u(t-1);
They are known since u(t-1) is known. So, you now have plain ordinary bounds on u(t) and there is nothing special about the way you set up the problem.
But I need to emphasize that, if you have an objective f(t,u(t)) at each time t, the approach you are pursuing will not give you the minimum of if that was your goal in all this. There is no way to do that by solving an independent problem at each t.

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Walter Roberson
Walter Roberson 2019-11-13

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