MATLAB: Constraint of optimization problem

optimization constraints

Hi!
I am really desperate and I wish you can help me
I need to optimize (maximize) the function:
(a1*w1)+(a2*w2)+(a3*w3)+(a4*w4)+(a5*w5)+(a6*w6)
where the variables are w1, w2, w3, w4, w5 y w5 and a1, a2, a3, a4, a5 and a6 are constants
The Constraints are: 
prob.Constraints.cons1 = w1+w2+w3+w4+w5+w6 == 1;
prob.Constraints.cons2 = w1>= 0;
prob.Constraints.cons3 = w2>= 0;
prob.Constraints.cons4 = w3>= 0;
prob.Constraints.cons5 = w4>= 0;
prob.Constraints.cons6 = w5>= 0;
prob.Constraints.cons7 = w6>= 0;
y=sort((w1*vector(:,1))+(w2*vector(:,2))+(w3*vector(:,3))+(w4*vector(:,4))+(w5*vector(:,5))+(w6*vector(:,6)));
prom=mean(y(1:r,:));
y1=prom<=0.0131;
prob.Constraints.cons8 = y1;
where vector is a 1000-by-1 vector and r=100
The problem is that the sort function doesn't work with optimization variable
Do you know if it is possible to optimize with coinstraints like that?
Thanks!!

Best Answer

It's the wrong solver. You would need to use ga() for a problem like that.
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