Hi ! I would like to minimize a linear function F(x)=f1(x)+f2(x)+…+fn(x)(each of f(x) is linear) under linear constraintes gi(x)=bi i=1,..m and nonlinear constraint norm(x)=1 where x is a vector with k-components and norm(x)^2=x(1)^2+…+x(k)^2 is the L-2 norm I don't know which function in matlab I can use for that program. I can't use [fmincon] since fmincon requires the objective function F(x) to be twice differentiable to compute the hessian, neither I can't use linear programing optimization since I have a non linear constraint. Can anyone help me please. Now I use the 2008b matlab version, I don't know if the 2011 version of matlab can do the job [with fmincon]
Any comment will be very helpfull
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