MATLAB: Problem with Constrained Optimization with nonlinear constraints

Question

Hello,

I am trying to do the following constrained optimization in matlab using the fmincon and nonlinear constraint.

max μ'*x

subject to A*x ≤ b

x'*Σ*x ≤ s

μ'*x + inv(F(x)(0.05))*sqrt(x'*Σ*x) ≥ −β

-1 ≤ x ≤ 1

The x is a (3×1) matrix. The problem is that the fmincon cannot find any feasible solution that is satisfying the constraints. Is it because the x is a vector and not a scalar?

Any reply would be appreciated!

Thank you in advance, Porfyria

Answer 1

fmincon handles vector arguments such as x. This section of the documentation gives suggestions for dealing with the case when fmincon cannot find a feasible point.

Alan Weiss

MATLAB mathematical toolbox documentation