Writing Minimization Function to Find Multiple Vectors

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Adam Rish
Adam Rish 2021-4-12
评论： Adam Rish 2021-4-13
I am currently try to write an objective function to solve the following problem:
E= True - R1' *S1 - R2' *S2 - R3' *S3
where the goal is to minimize E, and R1, R2, and R3 are all vectors, and S1 is a matrix that has as many rows as R1 has rows (and so on for S2 and S3). I am trying to solve for R1, R2, and R3, but am unsure what the correct function to use is. Additionally, I need to place restraints on R1. I have both the Optimization and Global Optimization toolbox available.
I'm new to the optimization coding, so any help is greatly appreciated. Thank you in advance
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Matt J
Matt J 2021-4-12
lsqlin is appropriate for this problem,
https://www.mathworks.com/help/optim/ug/lsqlin.html
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Matt J
Matt J 2021-4-12
编辑：Matt J 2021-4-12
You may find prob2matrices(Download) helpful for setting some of this up,
R1=optimvar('R1',size(S1,2),'LowerBound',0,'UpperBound',1);
R2=optimvar('R2',size(S2,2),'LowerBound',0,'UpperBound',1);
R3=optimvar('R3',size(S3,2),'LowerBound',0,'UpperBound',1);
p=prob2matrices({R1,R2,R3},'Constraints', sum(R1)<=1);
Roptimal=lsqlin([S1,S2,S3],True(:), p.Aineq,p.bineq,[],[],p.lb,p.ub);

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