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

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Matt J

Posts: 4,997
Registered: 11/28/09
Re: convex optimization problem
Posted: Aug 24, 2012 8:12 AM
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"kumar vishwajeet" wrote in message <k17dp4$sol$>...
> 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?

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