Problem with Constrained Optimization with nonlinear constraints

2013 1 11
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Hello,
I am trying to do the following constrained optimization in matlab using the fmincon and nonlinear constraint.
max μ'*x
subject to A*x ≤ b
x'*Σ*x ≤ s
μ'*x + inv(F(x)(0.05))*sqrt(x'*Σ*x) ≥ −β
-1 ≤ x ≤ 1
The x is a (3x1) matrix. The problem is that the fmincon cannot find any feasible solution that is satisfying the constraints. Is it because the x is a vector and not a scalar?
Any reply would be appreciated!
Thank you in advance, Porfyria

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Alan Weiss
Alan Weiss 2013-1-11

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fmincon handles vector arguments such as x. This section of the documentation gives suggestions for dealing with the case when fmincon cannot find a feasible point.
Alan Weiss
MATLAB mathematical toolbox documentation

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Porfyria
Porfyria 2013-1-11
Hello,
Thank you for your reply. I started with linprog but the solution it gives doesn't satisfy the linear constraints. Meaning: x:(3x1)
A: ones(1,3)
b = 1
A*x ≤ b
lb = [-1; -1; -1]
ub = [1; 1; 1]
x = [-0.9993; -0.9993; -0.9993]
Am I doing something wrong?
Thank you, Porfyria
Alan Weiss
Alan Weiss 2013-1-11
I'm sorry, I do not understand what you mean. For the values of A and b and x that you give,
A*x = -2.9979 ≤ b.
And the bounds lb ≤ x ≤ ub are satisfied. So what is the problem?
Alan Weiss
MATLAB mathematical toolbox documentation

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