MATLAB: Set gradual parameter constraints in fmincon

constraintsfminconoptimizationparameters

Hello everyone,
Here is my problem, I want to optimize a function with several parameters. Let's say that my function is: modelFun=@(a) a(1)x^2 +a(2);, so my paramers are a(1) and a(2). Therefore, I want fmincon to give me those parameters given a noise measure. Additionally, i know the bounds of the parameters lb=[0 0]; ub=[4 2]; So far, this is easy to implement: fminxon(modelFun,seed,[],[],[],[],lb,up);. However i know one more constrain for the parameters and it's that a(1)>a(2). This is the constraint I can not implement, and i'm asking for your help to implement it if possible.
I think it can not be implemented neither with inequality constraints nor nonlinear constraints.
Do you have any idea? Thank you very much, Oscar

Best Answer

Why cannot it be implemented? This is not even a nonlinear inequality constraint. Use the linear inequality constraints.
Is your fear that they implement the constraint with an >= instead of > ?
So then just require that
a(1) >= a(2) + delta
for some REASONABLY small value of delta. I would suggest using a larger value of delta than you have for TolCon, so that any constraint violation will not be a problem.
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