Integer based optimization Solver with non-linear constraints

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Muhammad Qaisar Fahim 2021-6-2

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评论： Muhammad Qaisar Fahim 2021-6-2

I want to optimize the problem that contains design parameters. And those optimized design parameters needs to be integers. Moreover my problem contains non linear constraints also. What could be the best free solver in MATLAB that I can use?

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Answer 1

Walter Roberson 2021-6-2

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fmincon() is never suitable for discrete parameters.

If you have mixed integer work that has a scalar output then your options are:

ga -- supports anonymous functions; supports nonlinear constraints
abusing patternsearch() -- supports anonymous functions; supports nonlinear constraints
intlinprog() -- supports matrix objectives only; does not support nonlinear
surrogate optimization -- supports anonymous functions; supports nonlinear constraints; https://www.mathworks.com/help/gads/surrogateopt.html

In order to use integer constraints with ga(), you have to write your own functions to handle cross-over and mutation and initial population -- functions that just happen to obey the required integer constraints. The more obvious integer constraints for ga() are incompatible with providing nonlinear contraints.

Surrogate optimization provides obvious integer constraints, but does not provide obvious nonlinear constraints. However, instead of your objective function returning a numeric scalar, it can instead return a struct with a particular form, and surrogate optimization will follow the nonlinear constraints expressed in the structure.