MATLAB: Using fmincon for optimization, when having too many variables

fminconMATLABOptimization Toolbox

Hi guys, I wanted to use the "fmincon" in the optimization toolbox to minimize my objective function. The only problem is that I have many variables. should I manually type the objective function :f(X)=x(1)+x(2)+…+x(n) ? Is there no other way?

Thanks in advance.

Best Answer

You have to write a function that takes one input, typically a vector called x, and returns the objective function evaluated at x. If your objective function is the sum of the elements in the vector x, as you seem to have, then you could write, for example,

objective = @(x)sum(x);

For more details, consult the documentation.

Alan Weiss

MATLAB mathematical toolbox documentation

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MATLAB: “nonlincon” part of the “fmincon” function in the optimization toolbox

What if you globalize the variables that you want to define in the nonlcon function. You would write global variable1.. global variableN in both nonlcon and your main program.

MATLAB: Optimization, fmincon. Help

Hi,

the usage of global variables is not recommended. You missed to define the function handles Fcost1_4 ... Fcost3_4 in Fcompanies_4.m - try this instead:

clc, clear all
global M H a1 a2 a3 b1 b2 b3 Lh umh u1h u2h u3h u4h Ch a4 Ge Ip
M=4;
H=24;
a1(1:7,1)=0.004;
a1(8:24,1)=0.00084;
a2(1:7,1)=0.0006;
a2(8:24,1)=0.00078;
a3(1:7,1)=0.0005;
a3(8:24,1)=0.00080;
b1(1:7,1)=0.064;
b1(8:24,1)=0.064;
b2(1:7,1)=0.046;
b2(8:24,1)=0.063;
b3(1:7,1)=0.044;
b3(8:24,1)=0.065;
r=0.09;
Ns=20;
a4= r/[1-(1+r)^-Ns];
Ge=1.6;
Ip=5000;
dv=H;
Lh=rand(1,H);
umh_i=rand(1,H*M);
u1h=umh_i(1,1:24);
u2h=umh_i(1,25:48);
u3h=umh_i(1,49:72);
u4h=umh_i(1,73:96);
current_m=1;
x0 = u1h;
ub = ones(dv,1);
lb = zeros(dv,1);
Fcost1_4 = @(x)globalfun(x);
Fcost2_4 = @(x)globalfun(x);
Fcost3_4 = @(x)globalfun(x);
options = optimoptions('fmincon','Algorithm','interior-point','Display','iter');
[x,fval] =fmincon(Fcost1_4,x0,[],[],[],[],lb,ub,[],options);
if(x~=u1h)
    u1h=x;
end
current_m=2;
x0=u2h;
ub=1-(u1h);
lb=zeros(dv,1);
options = optimoptions('fmincon','Algorithm','interior-point','Display','iter');
[x,fval] =fmincon(Fcost2_4,x0,[],[],[],[],lb,ub,[],options);
if(x~=u2h)
    u2h=x;
end
current_m=3;
x0=u3h;
ub=1-(u1h+u2h);
lb=zeros(dv,1);
options = optimoptions('fmincon','Algorithm','interior-point','Display','iter');
[x,fval] =fmincon(Fcost3_4,x0,[],[],[],[],lb,ub,[],options);
if(x~=u3h)
    u3h=x;
end
current_m=4;
u4h=1-(u1h+u2h+u3h);
[C]=F_final();
Ch=C;
umh=u1h+u2h+u3h+u4h;

In Fcost1.m your output is a function handle - try this instead:

function y = globalfun(x)
global M H a1 a2 a3 b1 b2 b3 Lh umh u1h u2h u3h
for h=1:H
y = (a1(h)*(Lh(h)*x(h)).^2 + b1(h)*(Lh(h)*x(h)) + a2(h)*(Lh(h)*u2h(h)).^2 + b2(h)*(Lh(h)*u2h(h)) + a3(h)*(Lh(h)*u3h(h)).^2 + b3(h)*(Lh(h)*u3h(h)));
end
end

These changes fix the code to run up to the last three lines:

[C]=F_final();

F_final is not defined - you should fix this and it should work. But you wil not get a price for clean coding... ;-)

In your globalfun you overwrite the result of y in every single run of your loop - i guess this is not what you want. Check the results - they may be not the expected ones, due to coding errros i cant identify, becaus of no insight to the problem.

Best regards

Stephan

Best Answer

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