function setup in fmincon

Question

Chien-Chia Huang 2011-6-5

0
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此问题的直接链接

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Hi there, my problem is how to set up the function using function handle in fmincon. The objective function is quadratic and the code is as follows.

function f = col_myfun(x,w)
f = x'*(w(1)*B+w(2)*eye(size(B,1)))*x;
end

The B matrix is calculated in another m-file. I code in fmincon with

fmincon(@(x,w) col_myfun,....)

But I met the error

??? Error using ==> fmincon at 399
FMINCON cannot continue because user supplied
objective function failed with the following
error:
Input argument "w" is undefined.

The x and w are supposed to be variables. I still have no idea how this could happen? Any suggestion will be truly appreciated!

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Chien-Chia Huang 2011-6-5

I have made some revision on the code

--

col_myfun = @(x, w) (x'*(w(1)*B+w(2)*eye(size(B,1)))*x);

x = fmincon(@(x, w) col_myfun,[zeros(size(B,1),1);0.5;0.5],[],[],[-C' zeros(1,2);zeros(1,length(C)) ones(1,2)],[c_star;1],[-inf*ones(size(B,1),1);zeros(2,1)],[])

--

But still met the error message

--

??? Undefined function or method 'minus' for

input arguments of type 'function_handle'.

Error in ==> finitedifferences at 200

gradf(gcnt,1) =

(fplus-fCurrent)/CHG(gcnt);

Error in ==> nlconst at 286

[gf,gnc,NEWLAMBDA,OLDLAMBDA,s]=finitedifferences(XOUT,x,funfcn,confcn,lb,ub,f,nc,

...

Error in ==> fmincon at 562

[X,FVAL,lambda,EXITFLAG,OUTPUT,GRAD,HESSIAN]=...

Error in ==> collinearity_mop at 64

x = fmincon(@(x, w)

col_myfun,[zeros(size(B,1),1);0.5;0.5],[],[],[-C'

zeros(1,2);zeros(1,length(C))

ones(1,2)],[c_star;1],[-inf*ones(size(B,1),1);zeros(2,1)],[])

--

What's gone wrong? Thanks a lot.

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Answer 1

Teja Muppirala 2011-6-5

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FMINCON only passes in one variable (the variable to be optimized) to the objective function. If w is constant, and you are trying to optimize for x, then something like this will work:

w = [3 4]
fmincon(@(x) col_myfun(x,w), ... )

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Chien-Chia Huang 2011-6-5

Thanks, Teja. This does help. Maybe combining x and w can be a way out.

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Answer 2

Matt Fig 2011-6-5

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I don't have the Optimization toolbox, so I can't really test it out. However, I am pretty sure you are passing your function incorrectly. Try this:

col_myfun = @(x, w) (x'*(w(1)*B+w(2)*eye(size(B,1)))*x); 
x = fmincon(col_myfun,....% rest of your code. NOT: @(x,w)col_myfun

COL_MYFUN is already a function handle. When you pass it as @(x,w)col_myfun, you are doing making a new function which returns the function handle to another function, not a value. For example:

f = @(x) sin(x);
f(1) % Evaluates to sin(1), but now look:
g = @(x) f;  % This is how you passed your function above.
g(1)  % Returns f, a function handle, not sin(1).

g(arg) will always return f, never a value! So there may be other problems with your code that I cannot test, but this one definitely needs fixing.