fminsearch, problem with option specification

Hello,

I have a vector V. I have an error depending on the components. I want the error to be as lower as possible so I though of using fminsearch.

V = fminsearch(@(V) myerror(V,par_1,par_2,par_3),Vo)

The problem is that I need V1<V2<...<Vn and Vi∈[1,1000](for all i). By the moment, I think there is not possibility to include such conditions with "optimset"

I would appreciate any advice.

Thanks a lot

Answer 1

[Alan Weiss]

This type of constraint (V1 < V2 < ...) is called a linear constraint. Generally, Optimization Toolbox solvers can include linear constraints by using a constraint matrix of the form

 A*x <= b

where

 A = [1,-1,0,0,0...
      0,1,-1,0,0,...
 ...
      0,0,...,1,-1]

and b is a vector of zeros. The fmincon function can handle this kind of nonlinear problem with linear constraints.

The bounds on the V(i) can be handled by passing lb = ones(size(x0)) and ub = 1000*lb .

Alan Weiss

MATLAB mathematical toolbox documentation

Answer 2

[Fede]

Thanks!!