Writing Minimization Function to Find Multiple Vectors

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Adam Rish 2021-4-12

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https://ww2.mathworks.cn/matlabcentral/answers/800241-writing-minimization-function-to-find-multiple-vectors

评论： Adam Rish 2021-4-13

采纳的回答： Matt J

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 2021-4-12

And what is the form of the constraints on the R_i?

Adam Rish 2021-4-12

The constraints are as follows: 0< R_i <1 And sum of R1=1

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采纳的回答

Matt J 2021-4-12

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https://ww2.mathworks.cn/matlabcentral/answers/800241-writing-minimization-function-to-find-multiple-vectors#answer_673661

lsqlin is appropriate for this problem,

https://www.mathworks.com/help/optim/ug/lsqlin.html

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Matt J 2021-4-12

编辑：Matt J 2021-4-12

在 MATLAB Online 中打开

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);