Surrogate optimization with different size constraints

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David Franco
David Franco 2021-3-1
评论： David Franco 2021-3-1
I have this problem for optimization (22-dimensional):
Min sum(t1/x1,t2/x2,...,t22/x22)
Subject to:
x1 + x2 + ... + x22 -140 - tol <= 0
-x1 - x2 - ... - x22 +140 - tol <= 0
-x1 <= -1
-x2 <= -1
...
-x22 <= -1
In surrogate optimization I have to add the constraints into the objective function handle, like this:
function F = transport(x)
% transporte is a 22-D problem
D = 22;
t = [3717,4982,3688,4337,6405,3769,3968,4900,5746,5753,7388,2832,4182,3618,4009,5291,5710,3742,3875,3436,5167,3950];
z = sum(t./x);
tol = 1e-3;
c1 = [sum(x) - 140 - tol;sum(-x) + 140 - tol];
A = ones(1,D)*(-1);
A = diag(A);
b = ones(D,1)*(-1);
c2 = A - b;
c = [c1 c2];
F.Fval = z;
F.Ineq = c;
end
I get this error, because c1 and c2 have different sizes:
Dimensions of arrays being concatenated are not consistent.
How can I create this constraints and pass to surrogate model?
My script:
% Mixed Integer Surrogate Optimization
clear all %#ok
close all
clc
rng default
D = 22;
lb = ones(1,D);
ub = ones(1,D)*10;
IntCon = 1:D;
options = optimoptions('surrogateopt','ConstraintTolerance',1e-6,'ObjectiveLimit',1e-6);
[xmin,fval,exitflag,output] = surrogateopt(@transport,lb,ub,IntCon,options);
Thanks a lot!

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采纳的回答

Alan Weiss
Alan Weiss 2021-3-1
Your problem is this line:
c = [c1 c2];
The variable c1 is a 2-by-1 column. c2 is, I think, a 22-by-22. Maybe a 22-by-1. In any case, they cannot be concatenated like this.
Alan Weiss
MATLAB mathematical toolbox documentation
  2 个评论
David Franco
David Franco 2021-3-1
You're right, Alan. I found on the page Solve Feasibility Problem the answer:
c(:,1:2) = [sum(x) - 140 - tol, sum(-x) + 140 - tol];
c(:,3:D+2) = (sum(A,2) - b)';
Each column in the structure field Ineq is a constraint.
Write each inequality as a function c(x), meaning the inequalities c(x) ≤ 0.
Thank you!
David Franco
David Franco 2021-3-1
Interesting that both GA and Surrogate in Matlab gave me a worse response than GA in Excel. And Surrogate was much slower.

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