How to use fmincon to optimize two control vectors of a function?

I have a function of 2 different vector. These are the control vector (decision variables) of the function. I want to use fmincon to optimize this function and also get the both control vector results separately. I have tried to use handle ,@, but I got an error. The function is:

function f = myFS(x,sv) % x is a vector (5,1) f = norm(x)^2-sigma*(sv(1)+sv(2)); end

%% I tried to write fmincone to consider both control vectors (x and sv)

[Xtemp(:,h2),Fval, fiasco] = fmincon(@(x,sv)myFS(x,sv)...
,xstart,[],[],[],[],VLB,VUB,@(x,sv)myCon(sv),options);

Here is the error I get:

    Error using myFS (line 12) Not enough input arguments.

    Error in fmincon (line 564) initVals.f = feval(funfcn{3},X,varargin{:});

    Error in main_Econstraint (line 58) [Xtemp(:,h2),Fval, fiasco] = fmincon('myFS',xstart,[],[],[],[],VLB,VUB,@(x,sv)myCon(sv),options);

Answer 1

[Brendan Hamm]

In the optimization routines in MATLAB the objective function needs to take all of it's design variables as one input. So in your case you would want something like:

function f = myFS(y,sigma) 

      sv = y(6:7); % sv will be the last 2 elements in the input vector
      x = y(1:5); % x is the first 5 elements of the input vector

      f = norm(x)^2-sigma*(sv(1)+sv(2));  % Where does sigma come from?
  end

I assume sigma is not a design variable so I pass as the next input. This means we need to now define sigma in the workspace and then create a function handle.

sigma = 1;
objective = @(y) myFS(y,sigma);

This will hardcode the value of 1 for sigma into the function 'objective'. Now we can use this with fmincon:

x = fmincon(objective,x0,...)

[javiera de la carrera]

Hi Brendan. I have a similar problem, but I have a vector ''q'' that is a design variable that appears in the main function and in the restrictions, and another design variable that appears only in the restriction function. So, I don't know how to put all the design variables in the same vector. Can you help me?

Thanks!

Answer 2

[Alan Weiss]

Perhaps this recent MATLAB Answer will help.

Alan Weiss

MATLAB mathematical toolbox documentation