fmincon to solve optimization involving matrices and norms

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Perry Mason 2021-7-21

评论： Perry Mason 2021-7-21

Hello,

I am trying to tackle the following problem using fmincon

minimize (quad_form(x,L))

subject to

norm(B*x-bt,inf)./max(bt)<=1

where

is the optimization variable and

and

are known.

Any tip about how to code this into fmincon are really welcome.

Thanks.

Walter Roberson 2021-7-21

fmincon will receive x as a row vector. Transpose it inside your nonlinear constraint function so that you can do the matrix multiplication.

Perry Mason 2021-7-21

Thanks for the answer.

I guess this is it how I tried, but it doesnt work.

Could you please write the matlab code I should write?

Thanks!

(Sorry , I am pretty new at this optimization toolbox)

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