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Topic: convex optimization problem
Replies: 6   Last Post: Aug 27, 2012 9:48 AM

 Messages: [ Previous | Next ]
 Matt J Posts: 4,997 Registered: 11/28/09
Re: convex optimization problem
Posted: Aug 24, 2012 8:12 AM

"kumar vishwajeet" wrote in message <k17dp4\$sol\$1@newscl01ah.mathworks.com>...
> Hi,
> I have an objective function of the following type:
> J = x log(x/k) + cx
> Subject to : f1(x) = alpha and f2(x) = beta
> where alpha, beta, k and c are constants and x is a vector to be solved for. So, it is a convex function. Which is the best optimization routine in MATLAB to solve such problems. I'm currently using fmincon and it is slower than snail.

==========

Is c a vector? I.e., is cx the same as dot(c,x)?

Also you haven't said what f1(x) and f2(x) look like. Unless they are linear, the problem is not a convex program overall.

One reason things might be slow is x log(x/k) is not differentiable at x=0, which violates the rules of fmincon if x=0 is in the feasible set. Do you also have a constraint x>=epsilon>0?

Date Subject Author
8/24/12 kumar vishwajeet
8/24/12 Matt J
8/24/12 Alan Weiss
8/24/12 kumar vishwajeet
8/27/12 Alan Weiss
8/27/12 Matt J
8/27/12 Matt J