Limit on the change rate of the variable in fmincon function

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Mohammad 2019-11-12

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编辑： Matt J 2019-11-14

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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 2019-11-13

What are the unknown variables in this problem and how is

related to them?

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Matt J 2019-11-12

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编辑：Matt J 2019-11-12

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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 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 2019-11-14

编辑：Matt J 2019-11-14

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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